<PAGE>
A MESSAGE TO OUR CONTRACT OWNERS:
We are pleased to forward this combined Semiannual Report of the segment of
Massachusetts Mutual Variable Annuity Separate Account 1 ("Separate Account 1")
pertaining to Flex Extra (Qualified) (the "Segment"), the MML Series Investment
Fund, and the three Funds of the Oppenheimer Variable Account Funds available to
most Owners of Flex Extra Contracts. These reports are for the period of January
1 through June 30, 1995.
The Semiannual Report for the Segment begins on page 3. The Segment has net
assets of $1,965,459,142 as of June 30, 1995. Net asset values per accumulation
unit for the MML Equity, MML Money Market, MML Managed Bond, MML Blend,
Oppenheimer Capital Appreciation, Oppenheimer Global Securities and Oppenheimer
Strategic Bond Divisions as of June 30, 1995 are shown in detail in the table on
page 3.
The Semiannual Report for the MML Series Investment Fund begins on page 11. This
report contains a detailed description of the financial results of the MML
Equity Fund, MML Money Market Fund, MML Managed Bond Fund and MML Blend Fund for
the period of January 1 through June 30, 1995.
The Semiannual Report for the Oppenheimer Variable Account Funds begins on page
34. This report contains a detailed description of the financial results of the
Oppenheimer Capital Appreciation Fund, Oppenheimer Global Securities Fund and
Oppenheimer Strategic Bond Fund for the period of January 1 through June 30,
1995.
We appreciate the interest and confidence you have shown in Separate Account 1.
MASSACHUSETTS MUTUAL LIFE INSURANCE COMPANY
/s/ Thomas B. Wheeler
Thomas B. Wheeler
President and Chief Executive Officer
August 1, 1995
1
<PAGE>
TABLE OF CONTENTS
<TABLE>
<S> <C>
Massachusetts Mutual Variable Annuity Separate Account 1
Statement of Assets and Liabilities as of June 30, 1995.............................................. 3
Statement of Operations For the Six Months Ended June 30, 1995....................................... 4
Statement of Changes in Net Assets For the Six Months Ended June 30, 1995 and 1994................... 5-6
Notes to Financial Statements........................................................................ 7-10
MML Series Investment Fund
Our Message To You................................................................................... 11-12
Statement of Assets and Liabilities as of June 30, 1995.............................................. 13
Statement of Operations For the Six Months Ended June 30, 1995....................................... 14
Statement of Changes in Net Assets For the Six Months Ended June 30, 1995 and 1994................... 15
Financial Highlights................................................................................. 16-17
Schedule of Investments as of June 30, 1995
MML Equity Fund.................................................................................... 18-20
MML Money Market Fund.............................................................................. 21
MML Managed Bond Fund.............................................................................. 22-24
MML Blend Fund..................................................................................... 25-30
Notes to Financial Statements........................................................................ 31-33
Oppenheimer Variable Account Fund
Statement of Assets and Liabilities as of June 30, 1995.............................................. 34
Statement of Operations For the Six Months Ended June 30, 1995....................................... 35
Statement of Changes in Net Assets For the Six Months Ended June 30, 1995 and
the Year Ended December 31, 1994.................................................................... 36
Financial Highlights................................................................................. 37-39
Schedule of Investments as of June 30, 1995
Oppenheimer Capital Appreciation Fund.............................................................. 40-42
Oppenheimer Global Securities Fund................................................................. 43-45
Oppenheimer Strategic Bond Fund.................................................................... 46-50
Notes to Financial Statements........................................................................ 51-55
</TABLE>
2
<PAGE>
MASSACHUSETTS MUTUAL VARIABLE ANNUITY SEPARATE ACCOUNT 1 FLEX EXTRA (QUALIFIED)
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1995
(UNAUDITED)
<TABLE>
<CAPTION>
MML MML OPPENHEIMER OPPENHEIMER OPPENHEIMER
MML MONEY MANAGED MML CAPITAL GLOBAL STRATEGIC
EQUITY MARKET BOND BLEND APPRECIATION SECURITIES BOND
DIVISION DIVISION DIVISION DIVISION DIVISION DIVISION DIVISION
-------- -------- ---------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
ASSETS
Investment
Number of shares (Note 2).... 27,388,530 56,414,486 6,901,647 55,760,136 1,103,888 2,609,205 2,050,992
============ ============ ============ ============== ============ ============ ============
Identified cost (Note 3B).... $534,887,108 $ 56,414,486 $ 84,591,994 $ 946,289,096 $ 28,853,602 $ 39,521,437 $ 9,623,507
============ ============ ============ ============== ============ ============ ============
Value (Note 3A).............. $652,264,776 $ 56,414,486 $ 84,538,293 $1,096,985,499 $ 32,112,090 $ 38,824,967 $ 9,762,724
Dividends receivable.......... -- 248,324 -- -- -- -- --
Receivable for accumulation
units sold................... 722,328 264,980 78,549 467,698 95,811 129,809 35,315
Divisional transfers
pending settlement........... (93,736) 72,585 22,193 (168,637) 52,464 80,277 34,854
Other assets.................. 813 -- 127 2,922 -- -- --
------------ ------------ ------------ -------------- ------------ ------------ ------------
TOTAL ASSETS................. 652,894,181 57,000,375 84,639,162 1,097,287,482 32,260,365 39,035,053 9,832,893
------------ ------------ ------------ -------------- ------------ ------------ ------------
LIABILITIES
Redemptions pending
settlement.................. 714,802 26,058 77,887 403,243 54,527 101,616 4,635
Annuitant mortality
fluctuation reserve
(Note 3D)................... 4,460 380 779 16,427 -- -- --
Payable to Massachusetts
Mutual Life Insurance
Company..................... 1,996,185 186,312 253,602 3,429,552 81,935 111,087 26,882
------------ ------------ ------------ -------------- ------------ ------------ ------------
TOTAL LIABILITIES............ 2,715,447 212,750 332,268 3,849,222 136,462 212,703 31,517
------------ ------------ ------------ -------------- ------------ ------------ ------------
NET ASSETS.................... $650,178,734 $ 56,787,625 $ 84,306,894 $1,093,438,260 $ 32,123,903 $ 38,822,350 $ 9,801,376
============ ============ =========== ============== ============ =========== ============
NET ASSETS CONSIST OF:
Accumulation units - value.... $650,030,076 $ 56,774,945 $ 84,280,929 $1,092,890,706 $ 32,123,903 $ 38,822,350 $ 9,801,376
Annuity reserves (Note 3E).... 148,658 12,680 25,965 547,554 -- -- --
------------ ------------ ------------ -------------- ------------ ------------ ------------
NET ASSETS $650,178,734 $ 56,787,625 $ 84,306,894 $1,093,438,260 $ 32,123,903 $ 38,822,350 $ 9,801,376
============ ============ ============ ============== ============ ============ ============
Accumulation units
Contract owners.............. 297,686,301 39,485,220 45,546,416 529,422,534 28,501,487 42,852,894 9,335,327
Massachusetts Mutual Life
Insurance Company........... -- -- -- -- 5,000 5,000 5,000
------------ ------------ ------------ -------------- ------------ ------------ ------------
Total units (Note 7)......... 297,686,301 39,485,220 45,546,416 529,422,534 28,506,487 42,857,894 9,340,327
============ ============ ============ ============== ============ ============ ============
NET ASSET VALUE PER
ACCUMULATION UNIT
June 30, 1995................ $ 2.18 $ 1.44 $ 1.85 $ 2.06 $ 1.13 $ 0.91 $ 1.05
June 30, 1994................ 1.83 1.39 1.66 1.80 -- -- --
June 30, 1993................ 1.78 1.36 1.71 1.77 -- -- --
June 30, 1992................ 1.61 1.34 1.53 1.61 -- -- --
June 30, 1991................ 1.43 1.30 1.36 1.42 -- -- --
</TABLE>
See Notes to Financial Statements.
3
<PAGE>
MASSACHUSETTS MUTUAL VARIABLE ANNUITY SEPARATE ACCOUNT I -- FLEX EXTRA
(QUALIFIED)
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 1995
(UNAUDITED)
<TABLE>
<CAPTION>
MML MML
MML MONEY MANAGED MML
EQUITY MARKET BOND BLEND
DIVISION DIVISION DIVISION DIVISION
-------- -------- -------- --------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends (Note 3B).................................... $ 21,362 $ 1,471,134 $ 1,315,395 $ 10,457,468
EXPENSES
Mortality and expense risk fees and
administrative expenses (Note 4)..................... 3,758,018 343,641 506,116 6,605,276
------------ ------------ ------------ ------------
NET INVESTMENT INCOME (LOSS) (Note 3C)................. (3,736,656) 1,127,493 809,279 3,852,192
============ ============ ============ ============
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on investments
(Notes 3B, 3C and 6)................................. 1,277,927 -- 36,278 3,703,680
Net change in unrealized appreciation/
depreciation of investments.......................... 85,195,077 -- 7,436,316 106,076,688
------------ ------------ ------------ ------------
NET GAIN ON INVESTMENTS................................ 86,473,004 -- 7,472,594 109,780,368
------------ ------------ ------------ ------------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS............................ $ 82,736,348 $ 1,127,493 $ 8,281,873 $113,632,560
============ ============ ============ ============
<CAPTION>
OPPENHEIMER OPPENHEIMER OPPENHEIMER
CAPITAL GLOBAL STRATEGIC
APPRECIATION SECURITIES BOND
DIVISION DIVISION DIVISION
-------- -------- --------
<S> <C> <C> <C>
INVESTMENT INCOME
Dividends (Note 3B).................................... $ 107,072 $ 753,816 $ 317,003
EXPENSES
Mortality and expense risk fees and
administrative expenses (Note 4)..................... 133,978 183,393 42,828
------------ ------------ ------------
NET INVESTMENT INCOME (LOSS) (Note 3C)................. (26,906) 570,423 274,175
============ ============ ============
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on investments
(Notes 3B, 3C and 6)................................. 5,773 (20,239) (4,864)
Net change in unrealized appreciation/
depreciation of investments.......................... 3,090,713 155,423 248,676
------------ ------------ ------------
NET GAIN ON INVESTMENTS................................ 3,096,486 135,184 243,812
------------ ------------ ------------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS............................ $ 3,069,580 $ 705,607 $ 517,987
============ ============ ============
</TABLE>
See Notes to Financial Statements.
4
<PAGE>
MASSACHUSETTS MUTUAL VARIABLE ANNUITY SEPARATE ACCOUNT I -- FLEX EXTRA
(QUALIFIED)
STATEMENT OF CHANGES IN NET ASSETS
FOR THE SIX MONTHS ENDED JUNE 30, 1995
(UNAUDITED)
<TABLE>
<CAPTION>
1995
---------------------------------------------------------
MML MML
MML MONEY MANAGED MML
EQUITY MARKET BOND BLEND
DIVISION DIVISION DIVISION DIVISION
-------- -------- -------- --------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS (Note 10)
Operations:
Net investment income (loss)..................... $ (3,736,656) $ 1,127,493 $ 809,279 $ 3,852,192
Net realized gain (loss)
on investments.................................. 1,277,927 -- 36,278 3,703,680
Net change in unrealized
appreciation/depreciation
of investments.................................. 85,195,077 -- 7,436,316 106,076,688
------------- ------------- ------------- ---------------
Net increase in net assets
resulting from operations....................... 82,736,348 1,127,493 8,281,873 113,632,560
------------- ------------- ------------- ---------------
Capital transactions: (Note 7)
Net contract payments (Note 5)................... 70,774,571 22,005,026 8,826,157 89,507,307
Reimbursement (payment) of
accumulation unit value fluctuation.............. 207,737 (8,792) 5,120 40,867
Net charge (credit) to annuitant
mortality fluctuation reserve
(Note 3D)........................................ (1,192) 43 6,259 8,441
Administrative charges and contingent
deferred sales charge (Note 5)................... (1,201,527) (78,597) (323,172) (2,046,410)
Withdrawal of funds............................... (26,082,516) (3,759,162) (3,404,467) (46,928,909)
Transfer to Guaranteed Principal
Account.......................................... (2,434,088) (2,129,962) (506,680) (4,789,691)
Annuity benefits.................................. (6,198) (553) (606) (24,516)
Divisional transfers.............................. 6,330,201 (9,569,441) (2,023,444) (11,249,887)
------------- ------------- ------------- ---------------
Net increase in net assets
resulting from capital transactions.............. 47,586,988 6,458,562 2,579,167 24,517,202
------------- ------------- ------------- ---------------
TOTAL INCREASE................................... 130,323,336 7,586,055 10,861,040 138,149,762
NET ASSETS, AT BEGINNING OF THE YEAR............... 519,855,398 49,201,570 73,445,854 955,288,498
------------- ------------- ------------- ---------------
NET ASSETS, AT END OF THE PERIOD................... $ 650,178,734 $ 56,787,625 $ 84,306,894 $ 1,093,438,260
============= ============= ============= ===============
</TABLE>
<TABLE>
<CAPTION>
OPPENHEIMER OPPENHEIMER OPPENHEIMER
CAPITAL GLOBAL STRATEGIC
APPRECIATION SECURITIES BOND
DIVISION DIVISION DIVISION
-------- -------- --------
<S> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS (Note 10)
Operations:
Net investment income (loss)..................... $ (26,906) $ 570,423 $ 274,175
Net realized gain (loss)
on investments.................................. 5,773 (20,239) (4,864)
Net change in unrealized
appreciation/depreciation
of investments.................................. 3,090,713 155,423 248,676
-------------- ------------- -------------
Net increase in net assets
resulting from operations....................... 3,069,580 705,607 517,987
-------------- ------------- -------------
Capital transactions: (Note 7)
Net contract payments (Note 5)................... 11,895,265 13,758,314 4,363,048
Reimbursement (payment) of
accumulation unit value fluctuation.............. 27,052 (6,107) 741
Net charge (credit) to annuitant
mortality fluctuation reserve
(Note 3D)........................................ -- -- --
Administrative charges and contingent
deferred sales charge (Note 5)................... (11,513) (3,643) (928)
Withdrawal of funds............................... (477,089) (708,047) (48,919)
Transfer to Guaranteed Principal
Account.......................................... (36,433) (79,300) (10,954)
Annuity benefits.................................. -- -- --
Divisional transfers.............................. 7,010,971 7,966,668 1,534,932
-------------- ------------- -------------
Net increase in net assets
resulting from capital transactions.............. 18,408,253 20,927,885 5,837,920
-------------- ------------- -------------
TOTAL INCREASE................................... 21,477,833 21,633,492 6,355,907
NET ASSETS, AT BEGINNING OF THE YEAR............... 10,646,070 17,188,858 3,445,469
-------------- ------------- -------------
NET ASSETS, AT END OF THE PERIOD................... $ 32,123,903 $ 38,822,350 $ 9,801,376
============== ============= =============
</TABLE>
See Notes to Financial Statements
5
<PAGE>
MASSACHUSETTS MUTUAL VARIABLE ANNUITY SEPARATE ACCOUNT 1 FLEX EXTRA
(QUALIFIED)
STATEMENT OF CHANGES IN NET ASSETS
FOR THE SIX MONTHS ENDED JUNE 30, 1994
(UNAUDITED)
<TABLE>
<CAPTION>
1994
-----------------------------------------------------------------
MML MML
MML MONEY MANAGED MML
EQUITY MARKET BOND BLEND
DIVISION DIVISION DIVISION DIVISION
-------- -------- -------- --------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS (Note 10)
Operations:
Net investment income (loss)............................ $ (2,834,472) $ 378,999 $ 749,495 $ 2,191,343
Net realized gain
on investments........................................ 1,485,175 -- 701,658 1,029,509
Net change in unrealized
appreciation/depreciation
of investments........................................ (1,985,495) -- (5,669,917) (16,147,175)
------------- -------------- -------------- --------------
Net increase (decrease) in net assets
resulting from operations............................. (3,334,792) 378,999 (4,218,764) (12,926,323)
------------- -------------- -------------- --------------
Capital transactions: (Note 7)
Net contract payments (Note 5).......................... 65,859,266 7,946,334 11,976,708 109,538,259
Reimbursement (payment) of
accumulation unit value fluctuation.................... 124,845 (986) (14,909) 182,633
Net charge to annuitant
mortality fluctuation reserve (Note 3D)................ 12,189 2,153 65 365
Administrative charges and contingent
deferred sales charge (Note 5)......................... (931,714) (81,123) (259,742) (1,832,242)
Withdrawal of funds..................................... (18,045,131) (3,225,009) (2,357,976) (33,495,666)
Transfer to Guaranteed Principal
Account................................................ (1,223,178) (1,150,082) (1,047,033) (1,965,671)
Annuity benefits........................................ (5,011) (1,443) (385) (21,379)
Divisional transfers.................................... 5,336,023 2,885,526 (11,193,063) 2,971,514
------------- -------------- -------------- --------------
Net increase (decrease) in net assets
resulting from capital transactions.................... 51,127,289 6,375,370 (2,896,335) 75,377,813
------------- -------------- -------------- --------------
TOTAL INCREASE (DECREASE).............................. 47,792,497 6,754,369 (7,115,099) 62,451,490
NET ASSETS, AT BEGINNING OF THE YEAR...................... 417,292,808 37,639,338 81,491,096 840,325,567
------------- -------------- -------------- --------------
NET ASSETS, AT END OF THE PERIOD.......................... $ 465,085,305 $ 44,393,707 $ 74,375,997 $ 902,777,057
============= ============== ============== ==============
</TABLE>
See Notes to Financial Statements.
6
<PAGE>
MASSACHUSETTS MUTUAL VARIABLE ANNUITY SEPARATE ACCOUNT 1
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
1. HISTORY
Massachusetts Mutual Variable Annuity Separate Account 1 ("Separate Account
1") is a separate investment account established on April 8, 1981 by
Massachusetts Mutual Life Insurance Company ("MassMutual"). Separate Account
1 operates as a registered unit investment trust pursuant to the Investment
Company Act of 1940 and the rules promulgated thereunder.
MassMutual maintains three segments within Separate Account 1. The segments
are Variable Annuity Fund 4, Flex-Annuity IV (Qualified) and Flex Extra
[formerly known as Flex-Annuity V] (Qualified. In prior years, the three
aforementioned segments were reported within the Annual Report for Separate
Account 1. However, these notes and the financial statements presented
herein, with the exception of note 8, describe and consist only of the Flex
Extra (Qualified) segment (the "Segment"). This manner of reporting was
selected by the Segment because it has divisions in addition to those which
invest in the four series of shares of the MML Series Investment Fund. This
change in presentation has been made in order to provide information relevant
to the Flex Extra (Qualified) contract owners. This change in presentation
does not impact the net asset values per accumulation unit for each type of
contract.
On September 13, 1994, MassMutual paid $15,000 to provide the initial capital
for the Segment's three new divisions: 1,516 shares were purchased in the
management investment company described in Note 2 supporting the three new
Oppenheimer divisions of the Segment.
2. INVESTMENT OF THE SEGMENT'S ASSETS
The Segment maintains seven divisions. The MML Equity Division invests in
shares of MML Equity Fund, the MML Money Market Division invests in shares of
MML Money Market Fund, the MML Managed Bond Division invests in shares of MML
Managed Bond Fund, the MML Blend Division invests in shares of MML Blend
Fund, the Capital Appreciation Division invests in shares of Oppenheimer
Capital Appreciation Fund, the Global Securities Division invests in shares
of Oppenheimer Global Securities Fund and the Strategic Bond Division invests
in shares of Oppenheimer Strategic Bond Fund.
MML Equity Fund, MML Money Market Fund, MML Managed Bond Fund and MML Blend
Fund are the four series of shares of MML Series Investment Fund (the "MML
Trust"). The MML Trust is a no-load, registered, open-end, diversified
management investment company for which MassMutual acts as investment
manager. Concert Capital Management Company, Inc. ("Concert Capital"), a
wholly-owned subsidiary of Babson Acquisition Corporation, which is a
controlled subsidiary of MassMutual, serves as investment sub-advisor to the
MML Equity Fund and the equity sector of the MML Blend Fund.
Oppenheimer Capital Appreciation Fund, Oppenheimer Global Securities Fund and
Oppenheimer Strategic Bond Fund (the "Oppenheimer Funds") are part of the
Oppenheimer Variable Account Funds (the "Oppenheimer Trust"). The Oppenheimer
Trust is a registered, open-end, diversified management investment company,
for which Oppenheimer Management Corporation ("OMC") acts as investment
advisor.
In addition to the seven divisions of the Segment, a contract owner may also
allocate funds to the Guaranteed Principal Account, which is part of
MassMutual's general account. Because of exemptive and exclusionary
provisions, interests in the Guaranteed Principal Account, which is part of
MassMutual's general account, are not registered under the Securities Act of
1933; and the general account is not registered as an investment company
under the Investment Company Act of 1940.
3. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies followed
consistently by the Segment in preparation of the financial statements in
conformity with generally accepted accounting principles.
A. INVESTMENT VALUATION
The investments in MML Trust and Oppenheimer Trust are each stated at market
value which is the net asset value of each of the respective underlying
funds.
B. ACCOUNTING FOR INVESTMENTS
Investment transactions are accounted for on trade date and identified cost
is the basis followed in determining the cost of investments sold for
financial statement purposes. Dividend income is recorded on the ex-dividend
date.
7
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Continued)
C. FEDERAL INCOME TAXES
Operations of the Segment form a part of the total operations of MassMutual,
and the Segment is not taxed separately. MassMutual is taxed as a life
insurance company under the provisions of the 1986 Internal Revenue Code, as
amended. The Segment will not be taxed as a "regulated investment company"
under Subchapter M of the Internal Revenue Code. Under existing federal law,
no taxes are payable on investment income and realized capital gains
attributable to contracts which depend on the Segment's investment
performance (the "Contracts"). Accordingly, no provision for federal income
tax has been made. MassMutual may, however, make such a charge in the future
if an unanticipated change of current law results in a company tax liability
attributable to the Segment.
D. ANNUITANT MORTALITY FLUCTUATION RESERVE
The Segment maintains a reserve as required by regulatory authorities to
provide for mortality losses incurred. The reserve is increased quarterly for
mortality gains and its proportionate share of any increases in value. The
reserve is charged quarterly for mortality losses and its proportionate share
of any decreases in value. Transfers to or from MassMutual are then made
quarterly to adjust the Segment. Net transfers from MassMutual to the Segment
totaled $16,921 and $10,989 for the six months ended June 30, 1995 and 1994,
respectively. The reserve is subject to a maximum of 3% of the Segment's
annuity reserves. Any mortality losses in excess of this reserve will be
assumed by MassMutual. The reserve is not available to owners of Contracts
except to the extent necessary to cover mortality losses under the Contracts.
E. ANNUITY RESERVES
Annuity reserves are developed by using accepted actuarial methods and are
computed using the 1971 Individual Annuity Mortality Table, as modified.
4. CHARGES FOR MORTALITY AND EXPENSE RISKS AND ADMINISTRATIVE EXPENSES
Daily charges are made which are equivalent on an annual basis to 1.30% of
the net asset value of the Segment (the "Net Asset Value"). The mortality and
expense risk part of this charge is made daily at an annual rate which is
currently equal to 1.15%, and will not exceed 1.25% of the Net Asset Value.
The administrative expense part of this charge is made daily at an annual
rate of 0.15% of the Net Asset Value.
5. CHARGES/DEDUCTIONS FOR ADMINISTRATIVE CHARGES, CONTINGENT DEFERRED SALES
CHARGES AND PREMIUM TAXES
<TABLE>
<CAPTION>
MML MML OPPENHEIMER OPPENHEIMER OPPENHEIMER
MML MONEY MANAGED MML CAPITAL GLOBAL STRATEGIC
FOR THE SIX MONTHS EQUITY MARKET BOND BLEND APPRECIATION SECURITIES BOND
ENDED JUNE 30, 1995 DIVISION DIVISION DIVISION DIVISION DIVISION DIVISION DIVISION
------------------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
Gross contract
payments................ $ 70,803,480 $ 22,014,014 $ 8,829,762 $ 89,543,868 $ 11,900,124 $ 13,763,933 $ 4,364,830
Less deduction for
premium taxes under
Flex Extra Contracts... 28,909 8,988 3,605 36,561 4,859 5,619 1,782
------------ ------------ ------------ ------------ ------------ ------------ ------------
Net contract
payments................ $ 70,774,571 $ 22,005,026 $ 8,826,157 $ 89,507,307 $ 11,895,265 $ 13,758,314 $ 4,363,048
============ ============ ============ ============ ============ ============ ============
Administrative charges and
contingent deferred sales
charges under Flex Extra
Contracts.....................$ 1,201,527 $ 78,597 $ 323,172 $ 2,046,410 $ 11,513 $ 3,643 $ 928
============ ============ ============ ============ ============ ============ ============
</TABLE>
8
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Continued)
<TABLE>
<CAPTION>
MML MML
MML MONEY MANAGED MML
FOR THE SIX MONTHS EQUITY MARKET BOND BLEND
ENDED JUNE 30, 1994 DIVISION DIVISION DIVISION DIVISION
------------------- -------- -------- -------- --------
<S> <C> <C> <C> <C>
Gross contract
payments..................................................... $ 65,887,436 $ 7,949,733 $ 11,981,831 $ 109,585,111
Less deduction for
premium taxes under
Flex Extra Contracts......................................... 28,170 3,399 5,123 46,852
------------- ------------ ------------- --------------
Net contract
payment...................................................... $ 65,859,266 $ 7,946,334 $ 11,976,708 $ 109,538,259
============= ============ ============= ==============
Administrative charges and contingent deferred
sales charges under Flex Extra Contracts..................... $ 931,714 $ 81,123 $ 259,742 $ 1,832,242
============= ============ ============= ==============
</TABLE>
6. PURCHASES AND SALES OF INVESTMENTS
<TABLE>
<CAPTION>
COST OF PROCEEDS
SHARES OF PURCHASES FROM SALES
-------- --------- ----------
<S> <C> <C>
MML Equity Fund........................................................................... $ 70,666,139 $ 4,426,784
MML Money Market Fund..................................................................... 17,692,389 10,192,503
MML Managed Bond Fund..................................................................... 7,669,654 2,802,170
MML Blend Fund............................................................................ 76,261,691 15,191,428
Oppenheimer Capital Appreciation Fund..................................................... 18,593,361 172,528
Oppenheimer Global Securities Fund........................................................ 21,757,455 155,032
Oppenheimer Strategic Bond Fund........................................................... 6,305,068 149,484
</TABLE>
<TABLE>
<CAPTION>
7. NET INCREASE (DECREASE) IN ACCUMULATION UNITS
MML MML Oppenheimer Oppenheimer Oppenheimer Oppenheimer
MML Money Managed MML Capital Global Strategic
For the Six Months Equity Market Bond Blend Appreciation Securities Bond
Ended June 30, 1995 Division Division Division Division Division Division Division
- ------------------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
Units purchased................ 34,722,718 15,717,178 5,040,733 45,929,045 11,551,368 15,593,704 4,344,939
Units withdrawn and
transferred
to Guaranteed Principal
Account....................... (14,624,439) (4,438,598) (2,421,549) (27,644,668) (504,184) (904,677) (61,440)
Units transferred
between divisions............. 3,061,325 (6,728,169) (1,166,468) (5,794,378) 6,878,738 9,046,829 1,541,440
Units transferred
to annuity reserves........... (12,240) - (7,501) (7,225) - - -
------------ ----------- ----------- ------------ ------------ ------------- -----------
Net increase................... 23,147,364 4,550,411 1,445,215 12,482,774 17,925,922 23,735,856 5,824,939
Units, at beginning of the
year.......................... 274,538,937 34,934,809 44,101,201 516,939,760 10,580,565 19,122,038 3,515,388
------------ ----------- ----------- ------------ ------------ ------------- -----------
Units, at end of the period.... 297,686,301 39,485,220 45,546,416 529,422,534 28,506,487 42,857,894 9,340,327
============ =========== =========== ============ ============ ============= ===========
</TABLE>
<TABLE>
<CAPTION>
MML MML
MML MONEY MANAGED MML
FOR THE SIX MONTHS EQUITY MARKET BOND BLEND
ENDED JUNE 30, 1994 DIVISION DIVISION DIVISION DIVISION
------------------- -------- -------- -------- --------
<S> <C> <C> <C> <C>
Units purchased.......................... 35,863,891 5,781,790 7,015,539 60,510,535
Units withdrawn and transferred
to Guaranteed Principal Account......... (10,957,648) (3,208,925) (2,155,483) (20,583,628)
Units transferred
between divisions....................... 2,811,788 2,102,068 (6,549,944) 1,614,291
Units transferred
to annuity reserves..................... - - - (27,976)
------------- ------------ ------------ --------------
Net increase (decrease).................. 27,718,031 4,674,933 (1,689,888) 41,513,222
Units, at beginning of the
year.................................... 226,395,300 27,346,264 46,476,619 459,927,890
------------- ------------ ------------ --------------
Units, at end of the period.............. 254,113,331 32,021,197 44,786,731 501,441,112
============= ============ ============ ==============
</TABLE>
9
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Continued)
8. CONSOLIDATED MASSACHUSETTS MUTUAL VARIABLE ANNUITY SEPARATE ACCOUNT 1
As discussed in Note 1, the financial statements only represent activity of
the Flex Extra (Qualified) segment of Massachusetts Mutual Variable Annuity
Separate Account 1. The combined net assets as of June 30, 1995 for
Massachusetts Mutual Variable Annuity Separate Account 1, including the
segments pertaining to Variable Annuity Fund 4, Flex-Annuity IV (Qualified),
and Flex Extra (Qualified), are as follows:
<TABLE>
<CAPTION>
MML MML OPPENHEIMER OPPENHEIMER OPPENHEIMER
MML MONEY MANAGED MML CAPITAL GLOBAL STRATEGIC
EQUITY MARKET BOND BLEND APPRECIATION SECURITIES BOND
DIVISION DIVISION DIVISION DIVISION DIVISION DIVISION DIVISION
-------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
Total Assets.................. $755,979,627 $ 72,779,010 $101,999,236 $1,335,555,745 $ 32,260,365 $ 39,035,053 $ 9,832,893
Total Liabilities............. 3,092,377 262,939 384,791 4,738,027 136,462 212,703 31,517
------------ ------------ ------------ -------------- ------------ ------------ ------------
Net Assets.................... $752,887,250 $ 72,516,071 $101,614,445 $1,330,817,718 $ 32,123,903 $ 38,822,350 $ 9,801,376
============ ============ ============ ============== ============ ============ ============
Net Assets Consist of:
Accumulation Units - Value.... $752,497,422 $ 72,408,708 $101,468,161 $1,330,021,649 $ 32,123,903 $ 38,822,350 $ 9,801,376
Annuity Reserves.............. 389,828 107,363 146,284 796,069 - - -
------------ ------------ ------------ -------------- ------------ ------------ ------------
Net Assets.................... $752,887,250 $ 72,516,071 $101,614,445 $1,330,817,718 $ 32,123,903 $ 38,822,350 $ 9,801,376
============ ============ ============ ============== ============ ============ ============
</TABLE>
9. DISTRIBUTION AGREEMENT
MML Investors Services, Inc. ("MMLISI"), a wholly-owned subsidiary of
MassMutual, acts as the principal underwriter of the Contracts. MMLISI is
registered as a broker-dealer under the Securities Exchange Act of 1934 and
is a member of the National Association of Securities Dealers, Inc. The
Contracts are sold by registered representatives of MMLISI who are also
insurance agents of MassMutual under state insurance law.
10. RECLASSIFICATION
Certain prior year amounts have been reclassified to conform with the
current year presentation.
Offered through MML Investors Services, Inc., Springfield, Massachusetts.
10
<PAGE>
MML Series Investment Fund
Table of Contents
<TABLE>
<CAPTION>
Page
<S> <C>
Our Message To You..................................................................... 2 - 3
Statement of Assets and Liabilities as of June 30, 1995................................ 4
MML Equity Fund
MML Money Market Fund
MML Managed Bond Fund
MML Blend Fund
Statement of Operations for the six months ended June 30, 1995......................... 5
MML Equity Fund
MML Money Market Fund
MML Managed Bond Fund
MML Blend Fund
Statement of Changes in Net Assets for the six months ended June 30, 1995 and 1994..... 6
MML Equity Fund
MML Money Market Fund
MML Managed Bond Fund
MML Blend Fund
Financial Highlights
MML Equity Fund.................................................................. 7
MML Money Market Fund............................................................ 7
MML Managed Bond Fund............................................................ 8
MML Blend Fund................................................................... 8
Schedule of Investments as of June 30, 1995
MML Equity Fund.................................................................. 9 - 11
MML Money Market Fund............................................................ 12
MML Managed Bond Fund............................................................ 13 - 15
MML Blend Fund................................................................... 16 - 21
Notes to Financial Statements.......................................................... 22 - 25
</TABLE>
1
<PAGE>
MML Series Investment Fund
OUR MESSAGE TO YOU
ECONOMIC AND INVESTMENT ENVIRONMENT
Economic growth slowed significantly during the first half of 1995. The primary
reason for the slowdown was a strong reduction in household demand (consumer
consumption and housing expenditures). Real Gross Domestic Product (GDP), which
had climbed at a rate exceeding 4% during 1994, grew at an annual rate of 2.7%
for the first quarter of 1995. The second quarter was even weaker than the
first, largely due to a reduction in new orders. The nearly flat second quarter,
in combination with the first quarter growth, should result in a modest GDP
growth rate of approximately 1.5% for the first half of this year. Despite the
slowdown, corporate profits and personal incomes have shown strong growth this
year. Additionally, inflationary pressures have remained modest.
The financial markets responded very strongly to the economic events of the
first half of the year. During late February, Federal Reserve Board ("Fed")
Chairman Greenspan confirmed that a substantial slowdown was underway. In
response to expectations of the Fed easing and weak economic statistics,
interest rates fell sharply during the first half of 1995. As interest rates
fell, bond prices increased strongly providing bondholders with a total return
of 11.8% (as evidenced by the Lehman Government/Corporate Bond Index). The
stock market also prospered. Benefitted by lower interest rates and continuing
strong corporate profits, the stock market provided investors with a total
return of 20.2% over the first half, as evidenced by the Standard & Poor's 500
Index.
In the fixed income markets, the treasury sector provided especially strong
returns. Investment grade corporate bonds also proved to be strong performers
in the first half. Mortgage backed securities and particularly the adjustable
rate securities lagged throughout the first half. In the stock market, the
large capitalization stocks generally outperformed the small capitalization;
however, the big winners in the first half were the technology stocks.
In the second half of 1995, we expect the economy to improve, but we look for
continued moderate growth. Stocks and bonds may be volatile in the second half
given their strong performance in the first half of 1995. In this environment,
we will continue to seek attractively valued investments to provide solid,
long-term performance for the portfolios. As always, we believe that a
disciplined, patient approach to investing will help you, our investors, reach
your financial goals.
MML EQUITY
What changes, if any, occurred to the portfolio in light of the economic
environment during this period?
Early in the year we were finding better values among more defensive issues,
such as pharmaceutical, agricultural, and food and beverage companies. This
seemed logical because the economic upswing had lasted more than four years, and
we expected that earnings of cyclical companies would begin to lose momentum.
However, by the second quarter, the market was discounting an economic slowdown,
interest rates had fallen sharply, and cyclical stocks had underperformed enough
to become the better purchases for the rest of the first half.
What were the most important buys/sells during the period?
There were four new purchases in the first half of 1995. In the retail group, we
bought Sears, Roebuck, which had completed a major restructuring and returned to
its general merchandise focus. We also purchased Albertson's, the fourth largest
food chain in the U. S., with geographical concentration in the southern and
western states. To participate in the global telecommunications network and
services business, we established a position in AT&T. The last new purchase was
American Brands, which had exited the domestic tobacco business and become more
of a branded consumer products company. We eliminated three stocks in the
period: Lockheed, Royal Dutch Petroleum and Willamette Industries.
What can we expect for the rest of 1995? What challenges do you see for the
future?
With spectacular stock market returns in the first half of the year, the next
six months might present a more difficult environment. Earnings, however, are
likely to remain robust in the next few quarters, tempering any periods of
weakness. We expect that the market performance will broaden to include more mid
cap and small cap issues, and become more volatile as the year progresses.
Longer term, the low dividend yield and high price to book value for the S&P 500
temper our enthusiasm for the market. Any new stocks purchased for the fund will
have to represent bargains in order for us to make a significant commitment.
Such opportunities may be limited until the market suffers a broader setback.
2
<PAGE>
MML MONEY MARKET
What were the driving forces that the economy reacted to during the period?
A major driving force during the first half of 1995 was the seven interest rate
increases orchestrated by the Fed between February 1994 and February 1995. This
tightening cycle was instituted by the Fed in order to keep inflation under
control as the economy began a period of strong growth. Both employment and
capacity utilization grew tremendously during 1994, which resulted in
inflationary concerns for the economy. Having slowed the economy sufficiently
during 1995, the Fed actually cut rates by 25 basis points in early July, citing
the lackluster economy as the primary reason behind the rate cut. In this
economic environment, we positioned the money market fund in high-quality
commercial paper (96%) and government agency issues (4%) having an average
maturity of 40 days at June 30, 1995.
Why is diversification such an important principle of your strategy?
Our investments are well diversified to limit our exposure to any particular
issuer. Diversification across industries and issuers within the portfolio helps
to prevent large losses caused by relatively isolated economic events.
MML MANAGED BOND
What caused the massive rally in the fixed-income markets and the concurrent
flattening in the yield curve?
The massive fixed-income rally during the first half of 1995 was the result of a
slowdown in the economy. With inflation under control, market participants
rallied the market anticipating the economic slowdown and an easing of Fed
policy. A concurrent flattening of the yield curve took place as inflation,
normally the scourge of fixed-income assets (especially long-term securities),
remained mild. Investor perceptions that the economic slowdown could lead to
recession also contributed to the flattening, as historically, the curve has
flattened as the economy approaches a recessionary environment.
What can we expect for the rest of 1995? What challenges do you see for the
future?
The remainder of 1995 should continue to be a period of volatility as market
participants react to the monetary policy actions of the Fed. Interest rate
declines seen thus far could be enough to stimulate the economy without
additional Fed easing. We have seen some of this reaction already in the housing
market. We expect to position the fund to be somewhat more defensive during the
second half of the year in order to preserve the strong returns we have already
gained from what has been an excellent market.
MML BLEND
What was the asset allocation of the Blend Fund as of June 30, 1995? Were there
any changes to the allocation strategy of the portfolio in light of the economic
environment during this period?
The Blend Fund combines the profiles of the MML Equity, Bond, and Money Market
Funds into a single portfolio. The specific allocation of stocks, bonds, and
money market issues is based upon the interrelation of current economic and
financial conditions and the values available in the stock and bond markets. As
these relationships change, the exposure to each capital market is gradually
adjusted within the designated ranges. At June 30, 1995, the Blend Fund had 55%
of the portfolio in equities, 13% in long-term bonds, and 32% in short-term
issues. There has been no significant change in these allocations since our last
report.
/s/ Stuart H. Reese
Stuart H. Reese
President
MML Series Investment Fund
July 31, 1995
3
<PAGE>
MML Series Investment Fund
STATEMENT OF ASSETS AND LIABILITIES
June 30, 1995
(Unaudited)
<TABLE>
<CAPTION>
MML MML
MML Money Managed MML
Equity Market Bond Blend
Fund Fund Fund Fund
------ ------ ------ ------
<S> <C> <C> <C> <C>
ASSETS
Investments at value (See Schedule of Investments)
(Notes 2A, 2B and 5)
Equities (Identified cost: $702,371,338;
$632,744,428 respectively)..................................... $ 948,957,474 $ -- $ -- $ 916,605,221
Bonds and notes (Identified cost: $126,819,596;
$217,658,170 respectively)..................................... -- -- 130,001,245 225,049,598
Short-term investments (Identified cost: $111,062,345;
$101,111,713; $9,448,705; $537,852,371 respectively)........... 111,062,345 101,111,713 9,448,705 537,697,097
-------------- ------------ ------------ --------------
Total investments.............................................. 1,060,019,819 101,111,713 139,449,950 1,679,351,916
Cash............................................................ 254,367 5,270 5,415 4,364,345
Interest and dividends receivable............................... 2,206,505 1,931 2,227,640 6,188,709
Receivable for investments sold................................. -- -- 1,075 1,057,293
Receivable for settlement of investments
purchased on a forward commitment basis (Note 2D).............. -- -- 260,757 3,061,714
Prepaid trustees' fees.......................................... 858 546 546 546
-------------- ------------ ------------ --------------
Total assets................................................... 1,062,481,549 101,119,460 141,945,383 1,694,024,523
-------------- ------------ ------------ --------------
LIABILITIES
Payable for investments purchased............................... 1,568,838 -- -- 5,728,889
Dividends payable (Note 2C)..................................... -- 449,598 -- --
Investment management fee payable (Note 4)...................... 993,643 119,012 165,644 1,544,030
Accrued liabilities............................................. 53,638 16,390 15,127 33,644
-------------- ------------ ------------ --------------
Total liabilities.............................................. 2,616,119 585,000 180,771 7,306,563
-------------- ------------ ------------ --------------
NET ASSETS...................................................... $1,059,865,430 $100,534,460 $141,764,612 $1,686,717,960
============== ============ ============ ==============
Net assets consist of:
Series shares, (par value $.01 per share; an unlimited number
authorized) (Note 6)............................................ $ 445,036 $ 1,005,345 $ 115,736 $ 857,363
Additional paid-in capital....................................... 785,196,294 99,529,115 138,595,460 1,366,511,200
Undistributed net investment income (Note 2C).................... 13,813,063 8,913 2,284,781 17,602,007
Undistributed net realized gain (loss) on investments and
forward commitments (Notes 2D and 3)............................ 13,824,901 (8,913) (2,414,572) 7,703,768
Net unrealized appreciation on:
Investments (Note 2A)........................................... 246,586,136 -- 3,181,649 291,096,947
Forward commitments (Note 2D)................................... -- -- 1,558 2,946,675
-------------- ------------ ------------ --------------
NET ASSETS....................................................... $1,059,865,430 $100,534,460 $141,764,612 $1,686,717,960
============== ============ ============ ==============
Outstanding series shares........................................ 44,503,554 $100,534,460 11,573,563 85,736,321
============== ============ ============ ==============
Net asset value per share........................................ $ 23.82 $ 1.00 $ 12.25 $ 19.67
============== ============ ============ ==============
</TABLE>
See Notes to Financial Statements.
4
<PAGE>
MML Series Investment Fund
STATEMENT OF OPERATIONS
For The Six Months Ended June 30, 1995
(Unaudited)
<TABLE>
<CAPTION>
MML MML
MML Money Managed MML
Equity Market Bond Blend
Fund Fund Fund Fund
------ ------ ------ ------
<S> <C> <C> <C> <C>
Investment income (Note 2B)
Dividends........................................................ $ 12,942,852 $ -- $ -- $ 12,909,367
Interest......................................................... 2,858,606 2,870,986 4,826,053 23,881,001
-------------- -------------- ------------- --------------
Total income.................................................. 15,801,458 2,870,986 4,826,053 36,790,368
-------------- -------------- ------------- --------------
Expenses
Investment management fee (Note 4)............................... 1,882,599 235,080 318,697 2,980,434
Trustees' fees................................................... 7,436 5,941 5,975 5,941
Audit fees....................................................... 13,121 9,076 11,603 14,204
Tax expense...................................................... 6,262 -- -- 6,262
Registration fee................................................. 33,650 3,017 2,777 25,034
Other............................................................ 1,127 667 667 630
-------------- -------------- ------------- --------------
Total expenses................................................ 1,944,195 253,781 339,719 3,032,505
-------------- -------------- ------------- --------------
Net investment income (Note 2C).................................. 13,857,263 2,617,205 4,486,334 33,757,863
-------------- -------------- ------------- --------------
Net realized and unrealized gain (loss) on investments and
forward commitments (Notes 2A, 2B and 2D)
Net realized gain (loss) on:
Investments (Notes 2B and 2C)................................... 13,881,504 (20) (697,474) 6,458,292
Forward commitments (Note 2D)................................... -- -- 453,016 2,277,785
-------------- -------------- ------------- --------------
Net realized gain (loss)...................................... 13,881,504 (20) (244,458) 8,736,077
-------------- -------------- ------------- --------------
Change in net unrealized appreciation/depreciation on:
Investments (Note 2A)........................................... 113,792,847 -- 10,294,054 139,385,654
Forward commitments (Note 2D)................................... -- -- 164,192 4,138,131
-------------- -------------- ------------- --------------
Total change in net unrealized appreciation/depreciation...... 113,792,847 -- 10,458,246 143,523,785
-------------- -------------- ------------- --------------
Net gain (loss).................................................. 127,674,351 (20) 10,213,788 152,259,862
-------------- -------------- ------------- --------------
Net increase in net assets resulting from operations............. $ 141,531,614 $ 2,617,185 $ 14,700,122 $ 186,017,725
============== ============== ============= ==============
</TABLE>
See Notes to Financial Statements.
5
<PAGE>
MML Series Investment Fund
STATEMENT OF CHANGES IN NET ASSETS
For The Six Months Ended June 30, 1995 and 1994
(Unaudited)
<TABLE>
<CAPTION>
1995
-------------------------------------------------------
MML MML
MML Money Managed MML
Equity Market Bond Blend
Fund Fund Fund Fund
------ ------ ------ ------
<S> <C> <C> <C> <C>
Increase (decrease)
in net assets
Operations:
Net investment income............................................ $ 13,857,263 $ 2,617,205 $ 4,486,334 $ 33,757,863
Net realized gain (loss)
on investments and
forward commitments............................................. 13,881,504 (20) (244,458) 8,736,077
Change in net unrealized
appreciation/depreciation on
investments and forward
commitments..................................................... 113,792,847 -- 10,458,246 143,523,785
-------------- ------------ ------------ --------------
Net increase (decrease) in
net assets resulting from
operations...................................................... 141,531,614 2,617,185 14,700,122 186,017,725
Dividends to shareholders from
net investment income (Note 2C)................................ (35,000) (2,617,185) (2,198,282) (16,157,864)
Net increase in capital share
transactions (Note 6).......................................... 97,585,798 8,748,427 8,053,120 72,596,962
-------------- ------------ ------------ --------------
Total increase (decrease)...................................... 239,082,412 8,748,427 20,554,960 242,456,823
NET ASSETS, at beginning of the year............................. 820,783,018 91,786,033 121,209,652 1,444,261,137
NET ASSETS, at end of the period................................. $1,059,865,430 $100,534,460 $141,764,612 $1,686,717,960
============== ============ ============ ==============
Undistributed net investment income included in net assets
at end of the period............................................ $ 13,813,063 $ 8,913 $ 2,284,781 $ 17,602,007
============== ============ ============ ==============
Rate per share of dividends to shareholders from net
investment income............................................... $ .001 $ .028 $ .197 $ .192
<CAPTION>
1994
-------------------------------------------------------
MML MML
MML Money Managed MML
Equity Market Bond Blend
Fund Fund Fund Fund
------ ------ ------ ------
<S> <C> <C> <C> <C>
Increase (decrease)
in net assets
Operations:
Net investment income............................................ $ 10,887,645 $ 1,253,255 $ 4,226,116 $ 25,770,255
Net realized gain (loss)
on investments and
forward commitments............................................. 3,404,918 (3,648) (916,521) 7,147,498
Change in net unrealized
appreciation/depreciation on
investments and forward
commitments..................................................... (15,082,522) -- (9,503,629) (44,491,207)
-------------- ------------ ------------ --------------
Net increase (decrease) in
net assets resulting from
operations...................................................... (789,959) 1,249,607 (6,194,034) (11,573,454)
Dividends to shareholders from
net investment income (Note 2C)................................ (25,000) (1,249,607) (2,107,029) (12,431,913)
Net increase in capital share
transactions (Note 6).......................................... 111,621,101 7,977,018 4,267,178 152,013,261
-------------- ------------ ------------ --------------
Total increase (decrease)...................................... 110,806,142 7,977,018 (4,033,885) 128,007,894
NET ASSETS, at beginning of the year............................. 663,093,058 73,659,008 129,109,198 1,296,543,156
-------------- ------------ ------------ --------------
NET ASSETS, at end of the period................................. $ 773,899,200 $ 81,636,026 $125,075,313 $1,424,551,050
============== ============ ============ ==============
Undistributed net investment income included in net assets
at end of the period............................................ $ 10,845,740 $ 7,177 $ 2,112,529 $ 13,340,848
============== ============ ============ ==============
Rate per share of dividends to shareholders from net
investment income............................................... $ .001 $ .015 $ .202 $ .163
</TABLE>
See Notes to Financial Statements.
6
<PAGE>
MML Series Investment Fund
FINANCIAL HIGHLIGHTS
(Unaudited)
Selected per share data for each series share outstanding throughout each
six-month period ended June 30:
<TABLE>
<CAPTION>
MML EQUITY FUND
1995 1994 1993 1992 1991
---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Net asset value:
Beginning of year.......................... $ 20.520 $ 20.510 $ 19.862 $ 18.735 $ 15.659
-------- -------- -------- -------- --------
Income from investment operations:
Net investment income....................... .311 .287 .274 .286 .295
Net realized and unrealized
gain (loss) on investments................. 2.985 (.293) .760 .448 1.900
-------- -------- -------- -------- --------
Total from investment operations............ 3.296 (.006) 1.034 .734 2.195
-------- -------- -------- -------- --------
Less distributions:
Dividends from net
investment income.......................... (.001) -- (.001) (.001) (.002)
Distribution from net
realized gains............................. -- -- -- -- --
-------- -------- -------- -------- --------
Total distributions......................... (.001) -- (.001) (.001) (.002)
-------- -------- -------- -------- --------
Net asset value:
End of period.............................. $ 23.815 $ 20.504 $ 20.895 $ 19.468 $ 17.852
======== ======== ======== ======== ========
<CAPTION>
1990 1989 1988 1987 1986
---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Net asset value:
Beginning of year.......................... $ 16.764 $ 14.929 $ 13.828 $ 15.591 $ 13.832
-------- -------- -------- -------- --------
Income from investment operations:
Net investment income....................... .315 .366 .295 .241 .241
Net realized and unrealized
gain (loss) on investments................. .115 1.366 1.691 2.625 2.176
-------- -------- -------- -------- --------
Total from investment operations............ .430 1.732 1.986 2.866 2.417
-------- -------- -------- -------- --------
Less distributions:
Dividends from net
investment income.......................... (.002) (.002) -- (.487) (.412)
Distribution from net
realized gains............................. -- -- -- (.759) (.498)
-------- -------- -------- -------- --------
Total distributions......................... (.002) (.002) -- (1.246) (.910)
-------- -------- -------- -------- --------
Net asset value:
End of period.............................. $ 17.192 $ 16.659 $ 15.814 $ 17.211 $ 15.339
======== ======== ======== ======== ========
</TABLE>
<TABLE>
<CAPTION>
MML MONEY MARKET FUND
1995 1994 1993 1992 1991
---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Net asset value:
Beginning of year.......................... $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
-------- -------- -------- -------- --------
Income from investment operations:
Net investment income....................... .028 .015 .048 .019 .032
-------- -------- -------- -------- --------
Total from investment operations............ .028 .015 .048 .019 .032
-------- -------- -------- -------- --------
Less distributions:
Dividends from net
investment income.......................... (.028) (.015) (.048) (.019) (.032)
-------- -------- -------- -------- --------
Total distributions......................... (.028) (.015) (.048) (.019) (.032)
-------- -------- -------- -------- --------
Net asset value:
End of period.............................. $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
======== ======== ======== ======== ========
<CAPTION>
1990 1989 1988 1987 1986
---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Net asset value:
Beginning of year.......................... $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
-------- -------- -------- -------- --------
Income from investment operations:
Net investment income....................... .039 .045 .032 .029 .035
-------- -------- -------- -------- --------
Total from investment operations............ .039 .045 .032 .029 .035
-------- -------- -------- -------- --------
Less distributions:
Dividends from net
investment income.......................... (.039) (.045) (.032) (.029) (.035)
-------- -------- -------- -------- --------
Total distributions......................... (.039) (.045) (.032) (.029) (.035)
-------- -------- -------- -------- --------
Net asset value:
End of period.............................. $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
======== ======== ======== ======== ========
</TABLE>
See Notes to Financial Statements.
7
<PAGE>
MML Series Investment Fund
FINANCIAL HIGHLIGHTS (Continued)
(Unaudited)
<TABLE>
<CAPTION>
MML MANAGED BOND FUND
1995 1994 1993 1992 1991
---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Net asset value:
Beginning of year.................. $ 11.141 $ 12.405 $ 12.041 $ 12.219 $ 11.318
-------- -------- -------- -------- --------
Income from investment operations:
Net investment income............... .395 .400 .404 .438 .458
Net realized and unrealized
gain (loss) on investments
and forward commitments............ .910 (.979) .579 (.119) .092
-------- -------- -------- -------- --------
Total from investment operations.... 1.305 (.579) .983 .319 .550
-------- -------- -------- -------- --------
Less distributions:
Dividends from net
investment income.................. (.197) (.202) (.207) (.219) (.221)
Distribution from net
realized gains..................... -- -- -- -- --
-------- -------- -------- -------- --------
Total distributions................. (.197) (.202) (.207) (.219) (.221)
-------- -------- -------- -------- --------
Net asset value:
End of period...................... $ 12.249 $ 11.624 $ 12.817 $ 12.319 $ 11.647
======== ======== ======== ======== ========
<CAPTION>
1990 1989 1988 1987 1986
---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Net asset value:
Beginning of year.................. $ 11.354 $ 10.919 $ 11.052 $ 12.541 $ 11.978
-------- -------- -------- -------- --------
Income from investment operations:
Net investment income............... .477 .455 .456 .484 .543
Net realized and unrealized
gain (loss) on investments
and forward commitments............ (.171) .431 .011 (.469) .406
-------- -------- -------- -------- --------
Total from investment operations.... .306 .886 .467 .015 .949
-------- -------- -------- -------- --------
Less distributions:
Dividends from net
investment income.................. (.242) (.226) (.225) (.492) (.561)
Distribution from net
realized gains -- -- -- (.482) --
-------- -------- -------- -------- --------
Total distributions................. (.242) (.226) (.225) (.974) (.561)
-------- -------- -------- -------- --------
Net asset value:
End of period...................... $ 11.418 $ 11.579 $ 11.294 $ 11.582 $ 12.366
======== ======== ======== ======== ========
</TABLE>
<TABLE>
<CAPTION>
MML BLEND FUND
1995 1994 1993 1992 1991
---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Net asset value:
Beginning of year.................. $ 17.672 $ 18.305 $ 17.846 $ 17.307 $ 14.839
-------- -------- -------- -------- --------
Income from investment operations:
Net investment income............... .397 .332 .332 .355 .370
Net realized and unrealized
gain (loss) on investments
and forward commitments............ 1.796 (.486) .687 .237 1.364
-------- -------- -------- -------- --------
Total from investment operations.... 2.193 (.154) 1.019 .592 1.734
-------- -------- -------- -------- --------
Less distributions:
Dividends from net
investment income.................. (.192) (.163) (.168) (.177) (.182)
Distribution from net
realized gains..................... -- -- -- -- --
-------- -------- -------- -------- --------
Total distributions................. (.192) (.163) (.168) (.177) (.182)
-------- -------- -------- -------- --------
Net asset value:
End of period...................... $ 19.673 $ 17.988 $ 18.697 $ 17.722 $ 16.391
======== ======== ======== ======== ========
<CAPTION>
1990 1989 1988 1987 1986
---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Net asset value:
Beginning of year.................. $ 15.428 $ 13.876 $ 13.095 $ 13.774 $ 12.244
-------- -------- -------- -------- --------
Income from investment operations:
Net investment income............... .398 .412 .354 .284 .263
Net realized and unrealized
gain (loss) on investments
and forward commitments............ .021 1.058 1.068 1.555 1.571
-------- -------- -------- -------- --------
Total from investment operations.... .419 1.470 1.422 1.839 1.834
-------- -------- -------- -------- --------
Less distributions:
Dividends from net
investment income.................. (.192) (.181) (.175) (.272) (.285)
Distribution from net
realized gains..................... -- -- -- (.247) (.103)
-------- -------- -------- -------- --------
Total distributions................. (.192) (.181) (.175) (.519) (.388)
-------- -------- -------- -------- --------
Net asset value:
End of period...................... $ 15.655 $ 15.165 $ 14.342 $ 15.094 $ 13.690
======== ======== ======== ======== ========
</TABLE>
See Notes to Financial Statements.
8
<PAGE>
MML Equity Fund
SCHEDULE OF INVESTMENTS
June 30, 1995
(Unaudited)
<TABLE>
<CAPTION>
Number Market
of Value
Shares (Note 2A)
------ ---------
<S> <C> <C>
EQUITIES - 89.53%
Aerospace & Defense - 1.92%
The Boeing Company ................................... 202,500 $ 12,681,562
TRW, Inc. ............................................ 96,000 7,668,000
----------- -----------
298,500 20,349,562
----------- -----------
Agribusiness - 2.00%
Archer-Daniels-Midland Company........................ 549,977 10,243,322
Pioneer Hi-Bred International......................... 260,000 10,920,000
----------- -----------
809,977 21,163,322
----------- -----------
Apparel, Textiles, Shoes - 1.05%
VF Corporation........................................ 208,000 11,180,000
----------- -----------
Automotive & Parts - 2.67%
Ford Motor Company.................................... 430,000 12,792,500
Genuine Parts Company................................. 410,000 15,528,750
----------- -----------
840,000 28,321,250
----------- -----------
Banking, Savings & Loans - 6.27%
Bank of New York Company, Incorporated................ 453,000 18,289,875
Comerica, Incorporated................................ 435,000 13,974,375
CoreStates Financial Corporation...................... 426,000 14,856,750
Norwest Corporation................................... 328,000 9,430,000
Wachovia Corp. ....................................... 278,200 9,945,650
----------- -----------
1,920,200 66,496,650
----------- -----------
Beverages - 1.99%
Brown-Forman Corporation (Class B).................... 333,000 11,113,875
Pepsico, Incorporated................................. 218,000 9,946,250
----------- -----------
551,000 21,060,125
----------- -----------
Chemicals - 4.31%
E.I. du Pont de Nemours and Company................... 152,500 10,484,375
Eastman Chemical Company.............................. 250,000 14,875,000
The Lubrizol Corporation.............................. 313,500 11,090,063
Nalco Chemical Company................................ 254,000 9,239,250
----------- -----------
970,000 45,688,688
----------- -----------
Communications - 2.01%
AT&T Corporation...................................... 400,000 21,250,000
----------- -----------
Computers & Office Equipment - 6.45%
Hewlett-Packard Company............................... 396,000 29,502,000
International Business Machines Corporation........... 110,000 10,560,000
Pitney Bowes, Inc. ................................... 390,000 14,966,250
Xerox Corporation..................................... 114,000 13,366,500
----------- -----------
1,010,000 68,394,750
----------- -----------
Electric Utilities - 1.97%
NIPSCO Industries, Inc. .............................. 180,000 6,120,000
Niagara Mohawk Power Corporation...................... 463,500 6,836,625
SCANA Corporation..................................... 356,000 7,965,500
----------- -----------
999,500 20,922,125
----------- -----------
Electrical Equipment & Electronics - 8.19%
AMP, Incorporated..................................... 591,000 24,969,750
General Electric Company.............................. 475,000 26,778,125
General Signal Corporation............................ 279,500 11,110,125
Honeywell Inc. ....................................... 256,500 11,061,562
Hubbell, Incorporated (Class B)....................... 228,072 12,886,068
----------- -----------
1,830,072 86,805,630
----------- -----------
Energy - 8.12%
Amoco Corporation..................................... 305,000 20,320,625
Atlantic Richfield Company............................ 137,000 15,035,750
Chevron Corporation................................... 422,000 19,675,750
Kerr-McGee Corporation................................ 226,400 12,140,700
Mobil Corporation..................................... 167,000 16,032,000
USX Corporation - Marathon Group...................... 145,000 2,863,750
----------- -----------
1,402,400 86,068,575
----------- -----------
Financial Services - 1.36%
American Express Company.............................. 410,000 14,401,250
----------- -----------
Foods - 1.62%
CPC International, Inc. .............................. 277,500 17,135,625
----------- -----------
Forest Products & Paper - 3.20%
Westvaco Corporation.................................. 263,537 11,661,512
Weyerhaeuser Company.................................. 472,000 22,243,000
----------- -----------
735,537 33,904,512
----------- -----------
Gas Distribution - .36%
Consolidated Natural Gas Company...................... 102,300 3,861,825
----------- -----------
Grocery Retailers - .50%
Albertson's, Inc. .................................... 178,000 5,295,500
----------- -----------
Hardware & Tools - 1.09%
The Stanley Works..................................... 305,000 11,551,875
----------- -----------
Healthcare - 8.11%
Becton, Dickinson and Company......................... 260,000 15,145,000
Bristol-Myers Squibb Company.......................... 455,000 30,996,875
Pfizer, Incorporated.................................. 278,000 25,680,250
Schering-Plough Corp. ................................ 319,800 14,111,175
----------- -----------
1,312,800 85,933,300
----------- -----------
Household Products - .94%
The Clorox Company.................................... 152,500 9,950,625
----------- -----------
Industrial Distribution - 1.16%
W. W. Grainger, Inc. .................................. 210,000 12,337,500
----------- -----------
Industrial Transportation - 2.01%
Norfolk Southern Corporation.......................... 228,000 15,361,500
Roadway Services, Inc. ............................... 125,000 5,906,250
----------- -----------
353,000 21,267,750
----------- -----------
Insurance - 3.10%
Jefferson-Pilot Corporation........................... 142,600 7,807,350
SAFECO Corporation.................................... 319,000 18,322,722
Unitrin, Inc. ........................................ 142,000 6,745,000
----------- -----------
603,600 32,875,072
----------- -----------
Machinery & Components - 2.00%
Dover Corporation..................................... 150,000 10,912,500
Parker-Hannifin Corporation........................... 284,250 10,304,063
----------- -----------
434,250 21,216,563
----------- -----------
</TABLE>
9
<PAGE>
MML Equity Fund
SCHEDULE OF INVESTMENTS (Continued)
June 30, 1995
(Unaudited)
<TABLE>
<CAPTION>
Number Market
of Value
Shares (Note 2A)
------ ---------
<S> <C> <C>
EQUITIES (Continued)
Metals & Mining - .71%
Reynolds Metals Company......................... 145,500 $ 7,529,625
------------ ------------
Miscellaneous - Producer - 2.68%
Harsco Corporation.............................. 169,500 8,941,125
Minnesota Mining &
Manufacturing Company.......................... 340,000 19,465,000
------------ ------------
509,500 28,406,125
------------ ------------
Photography - 1.18%
Eastman Kodak Company........................... 206,500 12,519,062
------------ ------------
Publishing & Printing - 4.14%
R. R. Donnelley & Sons Company.................. 366,500 13,194,000
The Dun & Bradstreet Corporation................ 280,000 14,700,000
McGraw Hill, Inc. .............................. 210,000 15,933,750
------------ ------------
856,600 43,827,750
------------ ------------
Retail - 3.13%
Kmart Corporation............................... 57,600 842,400
The May Department Stores Company............... 376,500 15,671,813
J.C. Penney Company, Inc. ...................... 113,000 5,424,000
Sears Roebuck & Co. ............................ 188,000 11,256,500
------------ ------------
735,100 33,194,713
------------ ------------
Telephone Utilities - 2.44%
Frontier Corporation............................ 461,000 11,064,000
Ameritech Corporation........................... 182,000 8,008,000
Southern New England
Telecommunications Corporation................. 193,500 6,820,875
------------ ------------
836,500 25,892,875
------------ ------------
Tire & Rubber - 1.51%
Goodyear Tire & Rubber Company.................. 387,500 15,984,375
------------ ------------
Tobacco - 1.34%
American Brands, Inc. .......................... 356,500 14,170,875
------------ ------------
Total Equities
(Cost $702,371,338)............................. 948,957,474
------------
</TABLE>
<TABLE>
<CAPTION>
Market
Principal Value
Amount (Note 2A)
--------- ---------
<S> <C> <C>
SHORT TERM INVESTMENTS* - 10.48%
Commercial Paper
Burlington Northern Railroad Company
6.159% 8/2/95................................ $ 6,325,000 $ 6,290,564
Burlington Resources Inc.
6.182% 7/20/95............................... 4,730,000 4,714,722
Champion International Corporation
6.072% 7/14/95............................... 4,220,000 4,210,811
ConAgra, Inc.
6.069% 7/17/95............................... 4,500,000 4,487,940
ConAgra, Inc.
6.070% 7/6/95................................ 5,765,000 5,760,156
Illinois Power Company
6.082% 7/11/95............................... 2,160,000 2,156,370
MAPCO Inc.
6.138% 8/3/95................................ 1,600,000 1,591,053
ORIX Credit Alliance Inc.
6.122% 7/12/95............................... 4,330,000 4,321,956
ORIX Credit Alliance Inc.
6.055% 7/10/95............................... 3,995,000 3,988,988
ORIX Credit Alliance Inc.
6.108% 7/5/95................................ 5,000,000 4,996,622
ORIX Credit Alliance Inc.
6.153% 7/31/95............................... 7,100,000 7,063,849
ORIX Credit Alliance Inc.
6.145% 7/27/95............................... 3,445,000 3,429,798
Pacific Telecom Inc.
6.093% 7/25/95............................... 5,855,000 5,831,385
Pacific Telecom Inc.
6.084% 7/18/95............................... 5,870,000 5,853,230
PS Colorado Credit Corporation
6.121% 7/19/95............................... 4,775,000 4,760,508
Sierra Pacific Power Co.
6.089% 7/21/95............................... 4,585,000 4,569,589
Sierra Pacific Power Co.
6.088% 7/28/95............................... 6,585,000 6,555,121
Super Value Stores Inc.
6.136% 7/7/95................................ 8,165,000 8,156,672
Textron Financial Corporation
6.056% 7/13/95............................... 5,190,000 5,179,585
Textron Financial Corporation
6.089% 7/24/95............................... 5,925,000 5,902,098
Textron Financial Corporation
6.126% 8/10/95............................... 2,300,000 2,284,462
Textron Financial Corporation
6.129% 7/26/95............................... 1,575,000 1,568,328
Textron Financial Corporation
6.164% 8/1/95................................ 2,165,000 2,153,572
Tyson Foods, Inc.
6.083% 8/4/95................................ 5,265,000 5,234,966
------------ ------------
Total Short Term Investments
(Cost $111,062,345) $111,425,000 111,062,345
============ ------------
</TABLE>
10
<PAGE>
MML Equity Fund
SCHEDULE OF INVESTMENTS (Continued)
June 30, 1995
(Unaudited)
<TABLE>
<CAPTION>
Market
Value
(Note 2A)
-----------
<S> <C> <C>
Total Investments -
(Cost $813,433,683) (a) 100.01% $1,060,019,819
Other Assets - .23 2,461,730
Liabilities - (.24) (2,616,119)
------- --------------
Net Assets - 100.00% $1,059,865,430
======= ==============
</TABLE>
(a) Federal Income Tax Information: At
June 30, 1995 the net unrealized
appreciation on investments based on cost
of $813,565,814 for federal income tax
purposes is as follows:
Aggregate gross unrealized appreciation for
all investments in which there is an excess
of market value over tax cost................. $252,541,063
Aggregate gross unrealized depreciation for
all investments in which there is an excess
of tax cost over market value................. (6,087,058)
------------
Net unrealized appreciation................... $248,454,005
============
*Rates represent annualized yield on date of purchase and are
unaudited.
See Notes to Financial Statements.
11
<PAGE>
MML Money Market Fund
SCHEDULE OF INVESTMENTS
June 30, 1995
(Unaudited)
<TABLE>
<CAPTION>
Market
Principal Value
Amount (Note 2A)
------------ -------------
SHORT TERM INVESTMENTS* 100.57%
<S> <C> <C>
Commercial Paper
American Express Credit Corp.
6.069% 9/1/95.................................. $ 3,285,000 $ 3,251,338
Aristar, Inc.
6.246% 7/5/95.................................. 3,480,000 3,477,622
Atlantic Richfield Corp.
6.252% 9/27/95................................. 2,975,000 2,930,930
Carolina Power & Light Co.
5.984% 8/2/95.................................. 3,800,000 3,779,902
Caterpillar Financial Services Corporation
5.996% 8/11/95................................. 3,635,000 3,610,492
Central & South West Corporation
5.954% 8/3/95.................................. 2,600,000 2,585,938
Coca Cola Company
5.905% 8/10/95................................. 1,895,000 1,882,683
Dresser Industries Inc.
6.019% 8/8/95.................................. 1,875,000 1,863,165
E.I. du Pont de Nemours and Company
6.085% 7/6/95.................................. 2,355,000 2,353,038
Echlin Inc.
6.032% 7/28/95................................. 3,455,000 3,439,452
Eli Lilly & Company
5.957% 9/14/95................................. 2,315,000 2,286,689
Emerson Electric Company
5.961% 7/11/95................................. 2,895,000 2,890,255
Federal National Mortgage Association
5.659% 12/28/95................................ 3,875,000 3,768,437
Ford Motor Credit Company
5.969% 7/24/95................................. 685,000 685,000
GTE Finance Corporation
6.051% 7/21/95................................. 3,500,000 3,488,333
General Electric Company
6.039% 7/19/95................................. 2,385,000 2,377,905
General Electric Capital Corporation
5.981% 8/23/95................................. 1,185,000 1,174,672
Georgia Power Company
6.092% 7/17/95................................. 2,100,000 2,094,400
Georgia Power Company
5.961% 7/10/95................................. 1,150,000 1,148,295
H.J. Heinz Company
5.982% 8/1/95.................................. 3,825,000 3,805,435
Hercules Incorporated
5.983% 7/26/95................................. 3,630,000 3,615,001
Iowa Illinois Gas & Electric Company
5.978% 8/8/95.................................. 2,793,000 2,775,517
J.C. Penny Funding Corp.
5.984% 7/18/95................................. 2,880,000 2,871,935
Kimberly Clark Corp.
5.829% 8/31/95................................. 3,035,000 3,005,430
McCormick & Company Inc.
6.168% 7/7/95.................................. 2,945,000 2,942,021
Melville Corporation
6.298% 12/7/95................................. 3,450,000 3,357,661
Monsanto Company
6.168% 8/3/95.................................. 1,620,000 1,611,016
Monsanto Company
6.008% 7/13/95................................. 1,445,000 1,442,134
Motorola Inc.
5.903% 8/18/95................................. 1,650,000 1,637,130
Pepsico Inc.
5.969% 8/9/95.................................. 3,570,000 3,547,066
Philip Morris Companies, Inc.
6.113% 7/12/95................................. 2,780,000 2,774,886
Potomac Electric Power Company
6.104% 8/14/95................................. 2,500,000 2,481,667
Proctor & Gamble Company
5.987% 7/20/95................................. 2,630,000 2,621,783
Public Service Electric & Gas Co.
5.974% 8/30/95................................. 2,200,000 2,178,367
Shell Oil Company
6.025% 7/10/95................................. 2,100,000 2,096,876
South Carolina Electric & Gas Co.
5.993% 8/4/95.................................. 3,000,000 2,983,142
Southwestern Bell Telecommunications
5.933% 8/25/95................................. 3,000,000 2,973,188
Union Electric Company
5.996% 7/14/95................................. 3,310,000 3,302,912
------------ ------------
Total Short-Term Investments
(Cost $101,111,713) (a) $101,808,000 101,111,713
============ ------------
Total Investments -
(Cost $101,111,713) (a) 100.57% 101,111,713
Other Assets - .01 7,747
Liabilities - (.58) (585,000)
------- ------------
Net Assets - 100.00% $100,534,460
======= ============
</TABLE>
(a) Federal Income Tax Information: The aggregate cost for investments
for the MML Money Market Fund as of June 30, 1995 is the same for
financial reporting and federal income tax purposes.
June 30, 1995 seven day average yield for the portfolio: 5.54%
*Rates represent annualized yield on date of purchase and
are unaudited.
See Notes to Financial Statements.
12
<PAGE>
MML Managed Bond Fund
SCHEDULE OF INVESTMENTS
June 30, 1995
(Unaudited)
<TABLE>
<CAPTION>
Market
Principal Value
Amount (Note 2A)
------------ ------------
<S> <C> <C>
BONDS AND NOTES - 91.70%
Asset Backed Securities - 5.60%
Auto Receivables
Daimler-Benz Vehicle Trust 1994-A
5.950% 12/15/00.............................. $ 921,020 $ 918,368
Ford Credit 1994-B Grantor Trust
7.300% 10/15/99.............................. 1,209,371 1,226,749
GMAC 1992-E Grantor Trust
4.750% 8/15/97............................... 518,904 514,036
Honda Auto Receivables 1992-A Grantor Trust
4.900% 6/15/98............................... 332,734 330,445
Midlantic Auto Grantor Trust 1992-1
4.300% 9/15/97............................... 174,553 173,789
Nissan Auto Receivables 1994-A Grantor Trust
6.450% 9/15/99............................... 2,090,581 2,097,104
World Omni Leasing Asset-Backed, Inc.
5.800% 1/15/97............................... 182,639 182,524
World Omni 1994-A Automobile Lease
Securitization Trust
6.450% 9/25/00............................... 2,500,000 2,503,250
------------ ------------
Total Asset Backed Securities
(Cost $7,920,015) 7,929,802 7,946,265
------------ ------------
Corporate Debt - 54.50%
AMR Corporation
9.000% 8/1/12................................ 1,000,000 1,056,210
American Airlines, Inc.
9.780% 11/26/11.............................. 2,000,000 2,242,500
Analog Devices, Inc.
6.625% 3/1/00................................ 1,000,000 984,520
Ashland Oil, Inc.
9.850% 9/15/95............................... 1,000,000 1,008,750
Associates Corporation of North America
7.875% 9/30/01............................... 2,000,000 2,123,960
Atlantic Richfield Company
7.770% 2/13/02............................... 3,000,000 3,199,770
BP America Inc.
8.500% 4/15/01............................... 2,000,000 2,187,600
Bell Atlantic Financial Services Inc.
6.610% 2/4/00................................ 2,000,000 2,016,740
Comdisco, Inc.
6.200% 3/5/96................................ 2,000,000 1,998,680
Corning Glass Works
8.875% 3/15/16............................... 500,000 572,025
John Deere Capital Corporation
5.290% 8/21/95............................... 1,000,000 998,590
Dow Capital
7.125% 1/15/03............................... 4,000,000 4,036,680
ERAC USA Finance Company
7.875% 3/15/98............................... 1,500,000 1,551,090
English China Clays Delaware, Inc.
7.375% 10/1/02............................... 1,000,000 1,022,230
Enron Corporation
8.100% 12/15/96.............................. 1,500,000 1,536,810
Equifax, Inc.
6.500% 6/15/03............................... 1,250,000 1,226,650
Ford Motor Company
7.875% 10/15/96.............................. 2,000,000 2,039,780
General Motors Acceptance Corporation
6.300% 9/10/97............................... 2,500,000 2,495,600
<CAPTION>
Market
Principal Value
Amount (Note 2A)
------------ ------------
<S> <C> <C>
BONDS AND NOTES (Continued)
Corporate Debt (Continued)
The Goldman Sachs Group, L.P. 144A
6.200% 2/15/01............................... $ 2,000,000 $ 1,956,860
W.R. Grace & Co.
7.750% 10/1/02............................... 2,100,000 2,178,771
Hercules Incorporated
6.625% 6/1/03................................ 2,000,000 1,979,700
ITT Corporation
5.250% 2/15/96............................... 1,000,000 993,830
ITT Financial Corporation
7.250% 5/15/97............................... 1,000,000 1,015,030
Imcera Group, Inc.
6.000% 10/15/03.............................. 2,000,000 1,845,320
Leucadia National Corporation
7.750% 8/15/13............................... 2,000,000 1,946,800
Lockheed Corporation
5.650% 4/1/97................................ 2,000,000 1,981,220
McDonnell Douglas Corporation
9.250% 4/1/02................................ 1,400,000 1,580,292
Morgan Stanley Group Inc.
8.000% 10/15/96.............................. 1,500,000 1,529,700
Newmont Mining Corporation
8.625% 4/1/02................................ 2,000,000 2,146,420
Penske Truck Leasing Co., L.P.
7.750% 5/15/99............................... 1,250,000 1,284,188
Polaroid Corporation
7.250% 1/15/97............................... 1,000,000 1,011,050
Polaroid Corporation
8.000% 3/15/99............................... 1,000,000 1,041,180
Rolls Royce Capital Inc.
7.125% 7/29/03............................... 3,000,000 3,023,400
Service Corporation International
7.000% 6/1/15................................ 2,250,000 2,282,940
Tele Communications, Inc.
8.250% 1/15/03............................... 2,000,000 2,053,860
Tenaga Nasional Berhad 144A
7.875% 6/15/04............................... 1,250,000 1,326,000
Textron Inc.
9.550% 3/19/01............................... 1,000,000 1,120,250
Thomas & Betts Corporation
8.250% 1/15/04............................... 1,500,000 1,588,500
Time Warner Entertainment Company, L.P.
9.625% 5/1/02................................ 2,000,000 2,241,340
US West Capital Funding Corporation
8.375% 10/18/99.............................. 3,000,000 3,200,250
Union Oil of California
8.750% 8/15/01............................... 1,500,000 1,651,890
United Air Lines, Inc.
10.110% 2/19/06............................... 476,860 521,428
Valassis Communications, Inc.
9.550% 12/1/03............................... 2,000,000 2,205,700
Westinghouse Electric Corporation
8.375% 6/15/02............................... 1,200,000 1,254,348
------------ ------------
Total Corporate Debt
(Cost $76,804,087) 74,676,860 77,258,452
------------ ------------
</TABLE>
13
<PAGE>
MML Managed Bond Fund
SCHEDULE OF INVESTMENTS (Continued)
June 30, 1995
(Unaudited)
<TABLE>
<CAPTION>
Market
Principal Value
Amount (Note 2A)
--------- ---------
<S> <C> <C>
BONDS AND NOTES (Continued)
U.S. Government Agency Obligations - 16.23%
Federal Home Loan Mortgage
Corporation (FHLMC) - 4.46%
Collateralized Mortgage Obligations - 4.28%
FHLMC Series 1322 Class G
7.500% 2/15/07................................. $ 2,000,000 $ 2,045,000
FHLMC Series 1460 Class H
7.000% 5/15/07................................. 2,000,000 2,011,860
FHLMC Series 1080 Class D
7.000% 7/15/20................................. 2,000,000 2,013,120
----------- -----------
6,000,000 6,069,980
Pass-Through Securities - .18%
FHLMC
9.000% 3/1/17.................................. 244,724 257,188
----------- -----------
6,244,724 6,327,168
----------- -----------
Federal National Mortgage
Association (FNMA) - 3.04%
Collateralized Mortgage Obligations - 2.39%
FNMA Series 1993-175 Class PL
5.000% 10/25/02................................ 2,000,000 1,946,240
FNMA Series 1993-191 Class PD
5.400% 3/25/04................................. 1,500,000 1,447,965
----------- -----------
3,500,000 3,394,205
Pass-Through Securities - .65%
FNMA
9.000% 5/1/09................................... 871,234 917,514
----------- -----------
4,371,234 4,311,719
----------- -----------
Government National Mortgage
Association (GNMA) - 5.94%
Collateralized Mortgage Obligations - .74%
JHM Acceptance Corporation, Series E Class 5
8.960% 4/1/19.................................. 964,198 1,047,957
----------- -----------
Pass-Through Securities - 5.20%
GNMA
8.000% 6/15/06 - 3/15/08....................... 7,050,379 7,368,068
----------- -----------
8,014,577 8,416,025
----------- -----------
</TABLE>
<TABLE>
<CAPTION>
Market
Principal Value
Amount (Note 2A)
--------- ---------
<S> <C> <C>
BONDS AND NOTES (Continued)
U.S. Government Guaranteed Notes - 2.79%
1994-A Atlanta, GA
5.780% 8/1/98.................................. $ 130,000 $ 128,324
1994-A Baxter Springs, KS
5.780% 8/1/98.................................. 700,000 690,977
1994-A Boston, MA
5.780% 8/1/98.................................. 745,000 735,397
1994-A Detroit, MI
5.780% 8/1/98.................................. 385,000 380,037
1994-A Egg Harbor, NJ
5.780% 8/1/98.................................. 260,000 256,649
1994-A Kansas City, MO
5.780% 8/1/98.................................. 550,000 542,911
1994-A Mayaguez, PR
5.780% 8/1/98.................................. 295,000 291,197
1994-A Rochester, NY
5.780% 8/1/98.................................. 300,000 296,133
1994-A Sacramento, CA
5.780% 8/1/98.................................. 55,000 54,291
1994-A Saginaw, MI
5.780% 8/1/98.................................. 315,000 310,940
1994-A Youngstown, OH
5.780% 8/1/98.................................. 265,000 261,584
----------- -----------
4,000,000 3,948,440
----------- -----------
Total U.S. Government Agency Obligations
(Cost $22,374,732) 22,630,535 23,003,352
----------- -----------
U.S. Treasury Obligations - 15.37%
U.S. Treasury Bonds - 12.78%
U.S. Treasury Bond
11.250% 2/15/15................................. 1,500,000 2,250,465
U.S. Treasury Bond
8.875% 8/15/17................................. 5,750,000 7,158,750
U.S. Treasury Bond
7.250% 8/15/22................................. 5,200,000 5,544,500
U.S. Treasury Bond
8.125% 8/15/19................................. 2,725,000 3,170,374
----------- -----------
15,175,000 18,124,089
U.S. Treasury Notes - .34%
U.S. Treasury Note
5.750% 8/15/03................................. 500,000 484,765
----------- -----------
U.S. Treasury Strips - 2.25%
U.S. Treasury Strip
0.000% 2/15/15................................. 12,200,000 3,184,322
----------- -----------
Total U.S. Treasury Obligations
(Cost $19,720,762) 27,875,000 21,793,176
----------- -----------
Total Bonds and Notes
(Cost $126,819,596) $133,112,197 130,001,245
============ -----------
</TABLE>
14
<PAGE>
MML Managed Bond Fund
SCHEDULE OF INVESTMENTS (Continued)
June 30, 1995
(Unaudited)
<TABLE>
<CAPTION>
Market
Principal Value
Amount (Note 2A)
------------ ------------
<S> <C> <C> <C>
SHORT-TERM INVESTMENTS* - 6.67%
Commercial Paper
ConAgra, Inc.
6.117% 7/7/95.............................. $ 3,640,000 $ 3,636,257
The Quaker Oats Company
6.305% 7/5/95.............................. 3,500,000 3,497,550
Tyson Foods, Inc.
6.106% 7/14/95............................. 2,320,000 2,314,898
------------ ------------
Total Short-Term Investments
(Cost $9,448,705) $ 9,460,000 9,448,705
============ ------------
Total Investments
(Cost $136,268,301) (a) 98.37% 139,449,950
Other Assets- 1.76 2,495,433
Liabilities- (.13) (180,771)
------- ------------
Net Assets- 100.00% $141,764,612
======= ============
</TABLE>
Table of Open Forward Commitment Contracts
<TABLE>
<CAPTION>
Forward Aggregate Expiration
Commitment Face Value of of Unrealized
Contracts Contracts Contracts Appreciation
---------- ------------- ------------- ----------------
<S> <C> <C> <C>
Government National Mortgage
Association - ARMS
6.000% due 12/16/15 $ 2,000,000 July 1995 $ 1,558
------------
Total Forward Commitment
Contracts $ 1,558
============
(a) Federal Income Tax Information: At
June 30, 1995 the net unrealized
appreciation on investments and forward
commitment contracts based on cost of
$138,269,863 for federal income tax
purposes is as follows:
Aggregate gross unrealized appreciation for
all investments and forward commitments in
which there is an excess of market value over
tax cost................................................. $ 4,876,839
Aggregate gross unrealized depreciation for
all investments and forward commitments in
which there is an excess of tax cost over
market value............................................. (1,693,632)
------------
Net unrealized appreciation.............................. $ 3,183,207
============
</TABLE>
* Rates represent annualized yield on date of purchase and are unaudited.
See Notes to Financial Statements.
15
<PAGE>
MML Blend Fund
SCHEDULE OF INVESTMENTS
June 30, 1995
(Unaudited)
<TABLE>
<CAPTION>
Number Market
of Value
Shares (Note 2A)
--------- ------------
<S> <C> <C>
EQUITIES - 54.34%
Aerospace & Defense - 1.27%
The Boeing Company........................... 208,000 $ 13,026,000
TRW, Inc. ................................... 105,000 8,386,875
---------- ------------
313,000 21,412,875
---------- ------------
Agribusiness - 1.22%
Archer-Daniels Midland Company............... 540,017 10,057,816
Pioneer Hi-Bred International................ 250,000 10,500,000
---------- ------------
790,017 20,557,816
---------- ------------
Apparel, Textiles, Shoes - .66%
VF Corporation................................ 208,000 11,180,000
---------- ------------
Automotive & Parts - 1.69%
Ford Motor Company........................... 435,000 12,941,250
Genuine Parts Company........................ 410,000 15,528,750
---------- ------------
845,000 28,470,000
---------- ------------
Banking, Savings & Loans - 3.96%
Bank of New York Company, Incorporated....... 449,100 18,132,413
Comerica, Incorporated....................... 460,000 14,777,500
CoreStates Financial Corporation............. 420,000 14,647,500
Norwest Corporation.......................... 328,000 9,430,000
Wachovia Corp. .............................. 274,600 9,816,950
---------- ------------
1,931,700 66,804,363
---------- ------------
Beverages - 1.27%
Brown-Forman Corporation (Class B)........... 345,800 11,541,075
Pepsico, Incorporated........................ 216,000 9,855,000
---------- ------------
561,800 21,396,075
---------- ------------
Chemicals - 2.74%
E.I. du Pont de Nemours and Company.......... 154,000 10,587,500
Eastman Chemical Company..................... 251,975 14,992,512
The Lubrizol Corporation..................... 308,000 10,895,500
Nalco Chemical Company....................... 268,000 9,748,500
---------- ------------
981,975 46,224,012
---------- ------------
Computers & Office Equipment - 4.10%
Hewlett-Packard Company...................... 400,000 29,800,000
International Business Machines Corporation.. 114,000 10,944,000
Pitney Bowes, Inc. .......................... 392,000 15,043,000
Xerox Corporation............................ 114,000 13,366,500
---------- ------------
1,020,000 69,153,500
---------- ------------
Electric Utilities - 1.22%
NIPSCO Industries, Inc. ..................... 185,000 6,290,000
Niagara Mohawk Power Corporation............. 468,000 6,903,000
SCANA Corporation............................ 326,000 7,294,250
---------- ------------
979,000 20,487,250
---------- ------------
Electrical Equipment & Electronics - 5.10%
AMP, Incorporated............................ 582,500 24,610,625
General Electric Company..................... 475,000 26,778,125
General Signal Corporation................... 280,000 11,130,000
Honeywell Inc. .............................. 252,000 10,867,500
Hubbell, Incorporated (Class B).............. 223,440 12,624,360
---------- ------------
1,812,940 86,010,610
---------- ------------
Energy - 4.90%
Amoco Corporation............................ 315,000 $ 20,986,875
Atlantic Richfield Company................... 134,500 14,761,375
Chevron Corporation.......................... 447,000 20,841,375
Kerr McGee Corporation....................... 184,800 9,909,900
Mobil Corporation............................ 168,000 16,128,000
---------- ------------
1,249,300 82,627,525
---------- ------------
Financial Services - .85%
American-Express Company..................... 406,000 14,260,750
---------- ------------
Foods - 1.04%
CPC International, Inc. ..................... 285,000 17,598,750
---------- ------------
Forest Products & Paper - 2.11%
Westvaco Corporation......................... 297,075 13,145,569
Weyerhaeuser Company......................... 476,000 22,431,500
---------- ------------
773,075 35,577,069
---------- ------------
Grocery Retailers - .30%
Albertson's, Inc. ........................... 171,300 5,096,175
---------- ------------
Hardware & Tools - .67%
The Stanley Works............................ 300,000 11,362,500
---------- ------------
Healthcare - 5.05%
Becton, Dickinson and Company................ 263,000 15,319,750
Bristol Myers Squibb Company................. 440,000 29,975,000
Pfizer, Incorporated......................... 280,000 25,865,000
Schering-Plough Corp. ....................... 318,400 14,049,400
---------- ------------
1,301,400 85,209,150
---------- ------------
Household Products - .58%
The Clorox Company........................... 151,000 9,852,750
---------- ------------
Industrial Distribution - .72%
W. W. Grainger, Inc. ........................ 207,000 12,161,250
---------- ------------
Industrial Transportation - 1.27%
Norfolk Southern Corporation................. 230,000 15,496,250
Roadway Services, Inc. ...................... 126,000 5,953,500
---------- ------------
356,000 21,449,750
---------- ------------
Insurance - 1.93%
Jefferson-Pilot Corporation.................. 143,000 7,829,250
SAFECO Corporation........................... 313,500 18,006,813
Unitrin, Inc. ............................... 143,000 6,792,500
---------- ------------
599,500 32,628,563
---------- ------------
Machinery & Components - 1.25%
Dover Corporation............................ 150,000 10,912,500
Parker-Hannifin Corporation.................. 281,250 10,195,313
---------- ------------
431,250 21,107,813
---------- ------------
Metals & Mining - .26%
Reynolds Metals Company...................... 85,700 4,434,975
---------- ------------
</TABLE>
16
<PAGE>
MML Blend Fund
SCHEDULE OF INVESTMENTS (Continued)
June 30, 1995
(Unaudited)
<TABLE>
<CAPTION>
Number Market
of Value
Shares (Note 2A)
---------- ------------
<S> <C> <C>
EQUITIES (Continued)
Miscellaneous - Producer - 1.71%
Harsco Corporation................................... 168,050 $ 8,864,638
Minnesota Mining &
Manufacturing Company............................... 350,000 20,037,500
---------- ------------
518,050 28,902,138
---------- ------------
Photography - .79%
Eastman Kodak Company................................ 218,500 13,246,562
---------- ------------
Publishing & Printing - 2.65%
R.R. Donnelley & Sons Company........................ 375,000 13,500,000
The Dun & Bradstreet Corporation..................... 296,000 15,540,000
McGraw - Hill, Inc. ................................. 207,000 15,706,125
---------- ------------
878,000 44,746,125
---------- ------------
Retail - 2.03%
Kmart Corporation.................................... 57,600 842,400
The May Department Stores Company.................... 405,000 16,858,125
J.C. Penney Company, Inc. ........................... 112,000 5,376,000
Sears Roebuck & Co. ................................. 185,000 11,076,875
---------- ------------
759,600 34,153,400
---------- ------------
Telephone Utilities - 1.57%
Frontier Corporation................................. 456,500 10,956,000
Ameritech Corporation................................ 179,000 7,876,000
Southern New England
Telecommunications Corporation...................... 215,000 7,578,750
---------- ------------
850,500 26,410,750
---------- ------------
Tire & Rubber - 1.01%
Goodyear Tire & Rubber Company....................... 412,200 17,003,250
---------- ------------
Tobacco - .42%
American Brands, Inc. ............................... 178,100 7,079,475
---------- ------------
Total Equities
(Cost $632,744,428) 916,605,221
------------
<CAPTION>
Market
Principal Value
Amount (Note 2A)
---------- ------------
<S> <C> <C>
BONDS AND NOTES - 13.34%
Asset Backed Securities - 1.00%
Auto Receivables
Daimler-Benz Vehicle Trust 1994-A
5.950% 12/15/00............................. $ 1,842,041 $ 1,836,736
Ford Credit Auto Master Trust 1992-1
6.875% 1/15/99.............................. 1,500,000 1,513,590
Ford Credit 1994-B Grantor Trust
7.300% 10/15/99............................. 1,612,495 1,635,666
GMAC 1992-E Grantor Trust
4.750% 8/15/97.............................. 311,342 308,422
Honda Auto Receivables 1992-A Grantor Trust
4.900% 6/15/98.............................. 332,735 330,445
Nissan Auto Receivables 1994-A Grantor Trust
6.450% 9/15/99.............................. 5,644,569 5,662,179
World Omni Leasing Asset-Backed, Inc.
5.800% 1/15/97.............................. 121,760 121,683
World Omni 1994-A Automobile Lease
Securitization Trust
6.450% 9/25/00.............................. 5,500,000 5,507,150
---------- ------------
Total Asset Backed Securities
(Cost $16,935,845) 16,864,942 16,915,871
---------- ------------
Corporate Debt - 4.66%
AMR Corporation
9.000% 8/1/12............................... 2,000,000 2,112,420
American Airlines, Inc.
9.780% 11/26/11............................. 5,000,000 5,606,250
American Brands, Inc.
8.570% 2/15/96.............................. 1,000,000 1,014,950
American General Finance Corporation
7.750% 1/15/97.............................. 2,000,000 2,043,660
Analog Devices, Inc.
6.625% 3/1/00............................... 1,500,000 1,476,780
Bell Atlantic Financial Services Inc.
6.610% 2/4/00............................... 1,000,000 1,008,370
Cardinal Distribution, Inc.
8.000% 3/1/97............................... 2,000,000 2,041,580
Chrysler Financial Corp.
6.620% 4/29/97.............................. 2,000,000 2,011,160
Comdisco, Inc.
6.200% 3/5/96............................... 1,500,000 1,499,010
Corning Glass Works
8.875% 3/15/16.............................. 500,000 572,025
Delta Air Lines, Inc.
8.540% 1/2/07............................... 4,578,616 4,670,188
ERAC USA Finance Company
7.875% 3/15/98.............................. 4,000,000 4,136,240
English China Clays Delaware, Inc.
7.375% 10/1/02.............................. 1,000,000 1,022,230
Enron Corporation
8.100% 12/15/96............................. 1,000,000 1,024,540
Ford Motor Credit Company
8.450% 7/15/06.............................. 1,500,000 1,508,280
GTE Corporation
9.100% 6/1/03............................... 1,000,000 1,131,840
General Motors Acceptance Corporation
9.125% 7/15/01.............................. 1,500,000 1,661,205
The Goldman Sachs Group, L.P. 144A
6.200% 2/15/01.............................. 4,000,000 3,913,720
</TABLE>
17
<PAGE>
MML Blend Fund
SCHEDULE OF INVESTMENTS (Continued)
June 30, 1995
(Unaudited)
<TABLE>
<CAPTION>
Market
Principal Value
Amount (Note 2A)
--------- -----------
<S> <C> <C>
BONDS AND NOTES (Continued)
Corporate Debt (Continued)
Leucadia National Corporation
7.750% 8/15/13................................ $ 3,000,000 $ 2,920,200
McDonnell Douglas Corporation
9.250% 4/1/02................................. 2,200,000 2,483,316
Morgan Stanley Group Inc.
8.000% 10/15/96............................... 2,000,000 2,039,600
Newmont Mining Corporation
8.625% 4/1/02................................. 5,000,000 5,366,050
Polaroid Corporation
7.250% 1/15/97................................ 4,500,000 4,549,725
Rolls Royce Capital Inc.
7.125% 7/29/03................................ 4,000,000 4,031,200
SAFECO Corporation
10.750% 9/15/95................................ 500,000 504,060
Service Corporation International
7.000% 6/1/15................................. 4,500,000 4,565,880
Tenaga Nasional Berhad 144A
7.875% 6/15/04................................ 2,500,000 2,652,000
Thomas & Betts Corporation
8.250% 1/15/04................................ 1,000,000 1,059,000
Time Warner Entertainment Company, L.P.
9.625% 5/1/02................................. 1,000,000 1,120,670
The Toro Company
11.000% 8/1/17................................. 2,000,000 1,980,000
United States Leasing International Inc.
8.750% 5/1/96................................. 3,500,000 3,570,420
Valassis Communications, Inc.
9.550% 12/1/03................................ 2,000,000 2,205,700
Westinghouse Electric Corporation
8.375% 6/15/02................................ 1,000,000 1,045,290
------------ ------------
Total Corporate Debt
(Cost $75,793,954).................................. 75,778,616 78,547,559
------------ ------------
U.S. Government Agency Obligations - 3.49%
Federal Home Loan Mortgage
Corporation (FHLMC) - .76%
Collateralized Mortgage Obligations - .71%
FHLMC Series 1080 Class D
7.000% 7/15/20................................ 5,000,000 5,032,800
FHLMC Series 1322 Class G
7.500% 2/15/07................................ 5,000,000 5,112,500
FHLMC Series 1460 Class 4
7.000% 5/15/07............................... 1,789,000 1,799,609
------------ ------------
11,789,000 11,944,909
Pass - Through Securities - .05%
FHLMC
9.000% 3/1/17................................. 734,171 771,563
------------ ------------
12,523,171 12,716,472
------------ ------------
Federal National Mortgage
Association (FNMA) - .58%
Collateralized Mortgage Obligations - .33%
FNMA Series 1993-175 Class PL
5.000% 10/25/02............................... 4,130,000 4,018,986
FNMA Series 1993-191 Class PD
5.400% 3/25/04............................... 1,500,000 1,447,965
------------ ------------
5,630,000 5,466,951
Federal National Mortgage
Association (FNMA) (Continued)
Pass - Through Securities - .25%
FNMA
8.000% 5/1/13................................ $ 4,084,738 $ 4,239,059
------------ ------------
9,714,738 9,706,010
------------ ------------
Government National Mortgage
Association (GNMA) - .91%
Collateralized Mortgage Obligations - .12%
JHM Acceptance Corporation, Series E Class 5
8.960% 4/1/19................................ 1,928,395 2,095,915
------------ ------------
Pass - Through Securities - .79%
GNMA
8.000% 1/15/04-5/15/08....................... 9,634,671 10,068,812
GNMA
9.000% 8/15/08-9/15/09....................... 2,937,150 3,190,272
------------ ------------
12,571,821 13,259,084
------------ ------------
14,500,216 15,354,999
------------ ------------
U.S. Government Guaranteed Notes - 1.24%
1994-A Abilene, TX
5.780% 8/1/98............................... 70,000 69,098
1994-A Bakersfield, CA
5.780% 8/1/98............................... 245,000 241,842
1994-A Barberton, OH
5.780% 8/1/98............................... 75,000 74,033
1994-A Buffalo, NY
5.780% 8/1/98............................... 375,000 370,166
1991-A Caguas, PR
8.740% 8/1/01............................... 280,000 310,624
1991-A Council Bluffs, IA
8.740% 8/1/01............................... 155,000 171,952
1994-A Cumberland, MD
5.780% 8/1/98............................... 55,000 54,291
1994-A Elizabeth, NJ
5.780% 8/1/98............................... 75,000 74,033
1994-A Erie, PA
5.780% 8/1/98............................... 70,000 69,098
1994-A Euclid, OH
5.780% 8/1/98............................... 105,000 103,647
1994-A Fairfax County, VA
5.780% 8/1/98............................... 110,000 108,582
1991-A Fairfax County, VA
8.740% 8/1/01............................... 85,000 94,296
1991-A Fajardo, PR
8.740% 8/1/01............................... 210,000 232,968
1994-A Fort Myers, FL
5.040% 8/1/96............................... 120,000 118,800
1994-A Fort Myers, FL
5.780% 8/1/98............................... 135,000 133,260
1991-A Gasden, AL
8.740% 8/1/01............................... 100,000 110,937
1994-A Jacksonville, FL
5.040% 8/1/96............................... 200,000 198,000
1994-A Lawrence, MA
5.040% 8/1/96............................... 35,000 34,650
1994-A Lawrence, MA
5.780% 8/1/98............................... 40,000 39,484
1994-A Little Rock, AK
5.040% 8/1/96............................... 310,000 306,900
</TABLE>
18
<PAGE>
MML Blend Fund
SCHEDULE OF INVESTMENTS (Continued)
June 30, 1995
(Unaudited)
<TABLE>
<CAPTION>
Market
Principal Value
Amount (Note 2A)
---------- ------------
<S> <C> <C>
BONDS AND NOTES (Continued)
U.S. Government Guaranteed Notes (Continued)
1994-A LA County, CA
5.040% 8/1/96.............................. $ 145,000 $ 143,550
1994-A LA County, CA
5.780% 8/1/98.............................. 175,000 172,744
1991-A Lorain, OH
8.740% 8/1/01.............................. 30,000 33,281
1994-A Macon, GA
5.040% 8/1/96.............................. 25,000 24,750
1994-A Mayaguez, PR
5.780% 8/1/98.............................. 65,000 64,162
1991-A Mayaguez, PR
8.740% 8/1/01.............................. 150,000 166,406
1994-A Mobile, AL
5.780% 8/1/98.............................. 205,000 202,358
1994-A Montgomery County, PA
5.040% 8/1/96.............................. 215,000 212,850
1994-A Montgomery County, PA
5.780% 8/1/98.............................. 230,000 227,035
1994-A New Orleans, LA
5.780% 8/1/98.............................. 175,000 172,744
1994-A Ocean Shores, WA
5.780% 8/1/98.............................. 110,000 108,582
1994-A Pasadena, CA
5.780% 8/1/98.............................. 140,000 138,195
1994-A Providence, RI
5.040% 8/1/96.............................. 40,000 39,600
1994-A Providence, RI
5.780% 8/1/98.............................. 50,000 49,356
1994-A Reading, PA
5.040% 8/1/96.............................. 15,000 14,850
1994-A Reading, PA
5.780% 8/1/98.............................. 65,000 64,163
1994-A Roanoke, VA
5.780% 8/1/98.............................. 210,000 207,293
1994-A Rochester, NY
5.040% 8/1/96.............................. 155,000 153,450
1994-A Rochester, NY
5.780% 8/1/98.............................. 165,000 162,873
1991-A Rochester, NY
8.650% 8/1/00.............................. 4,295,000 4,694,950
1994-A Sacramento, CA
5.040% 8/1/96.............................. 125,000 123,750
1994-A Sacramento, CA
5.780% 8/1/98.............................. 300,000 296,133
1994-A St. Joseph, MO
5.040% 8/1/96.............................. 70,000 69,300
1994-A Salt Lake City, UT
5.040% 8/1/96.............................. 135,000 133,650
1994-A Schaumburg, IL
5.040% 8/1/96.............................. 60,000 59,400
1994-A Syracuse, NY
5.040% 8/1/96.............................. 50,000 49,500
1994-A Syracuse, NY
5.780% 8/1/98.............................. 50,000 49,356
1994-A Tacoma, WA
5.040% 8/1/96.............................. 130,000 128,700
1994-A Tacoma, WA
5.780% 8/1/98.............................. 155,000 153,002
1994-A Trenton, NJ
5.040% 8/1/96.............................. 120,000 118,800
1994-A Trenton, NJ
5.780% 8/1/98.............................. 130,000 128,324
<CAPTION>
Market
Principal Value
Amount (Note 2A)
---------- ------------
<S> <C> <C>
BONDS AND NOTES (Continued)
U.S. Government Guaranteed Notes (Continued)
1994-A Virginia Beach, VA
5.780% 8/1/98.............................. $ 260,000 $ 256,648
1994-A Waterford Township, MI
5.040% 8/1/96.............................. 50,000 49,500
1994-A Waterford Township, MI
5.780% 8/1/98.............................. 55,000 54,291
1994-A West Palm Beach, FL
5.780% 8/1/98.............................. 105,000 103,647
Housing and Urban Development, Series 1995-A
8.240% 8/1/02.............................. 8,475,000 9,278,515
------------ ------------
19,780,000 21,022,369
------------ ------------
Total U.S. Government Agency Obligations
(Cost $55,842,171) 56,518,125 58,799,850
------------ ------------
U.S. Treasury Obligations - 4.19%
U.S. Treasury Bonds - 1.75%
U.S. Treasury Bond
7.125% 2/15/23............................. 24,200,000 25,496,878
U.S. Treasury Bond
8.125% 8/15/19............................. 3,500,000 4,072,040
------------ ------------
27,700,000 29,568,918
U.S. Treasury Notes - 2.44% ------------ ------------
U.S. Treasury Note
6.500% 4/30/99............................. 12,000,000 12,206,280
U.S. Treasury Note
7.500% 11/15/01............................ 4,000,000 4,293,760
U.S. Treasury Note
7.875% 4/15/98............................. 14,000,000 14,704,340
U.S. Treasury Note
8.875% 11/15/98............................ 9,210,000 10,013,020
------------ ------------
39,210,000 41,217,400
------------ ------------
Total U.S. Treasury Obligations
(Cost $69,086,200) 66,910,000 70,786,318
------------ ------------
Total Bonds and Notes
(Cost $217,658,170) $216,071,683 225,049,598
============ ------------
SHORT TERM INVESTMENTS* - 31.88%
Commercial Paper
American Express Credit Corp.
6.027% 9/1/95.............................. $ 10,215,000 10,106,849
Aristar, Inc.
6.174% 7/19/95............................. 6,000,000 5,981,080
Aristar, Inc.
6.089% 8/4/95.............................. 11,100,000 11,036,034
Aristar, Inc.
5.936% 9/21/95............................. 9,635,000 9,500,605
Bemis Company Inc.
6.048% 7/3/95.............................. 5,035,000 5,033,251
Boston Edison Company
6.136% 8/22/95............................. 5,990,000 5,937,647
Brown Group Inc.
6.302% 7/10/95............................. 9,295,000 9,280,585
Brown Group Inc.
6.297% 7/11/95............................. 5,580,000 5,570,385
</TABLE>
19
<PAGE>
MML Blend Fund
SCHEDULE OF INVESTMENTS (Continued)
June 30, 1995
(Unaudited)
<TABLE>
<CAPTION>
Market
Principal Value
Amount (Note 2A)
------------ -----------
<S> <C> <C>
SHORT TERM INVESTMENTS* (Continued)
Commercial Paper (Continued)
Brown Group Inc.
6.140% 8/28/95.................................... $ 7,290,000 $ 7,217,141
Caterpillar Financial Services Corporation
6.100% 7/13/95.................................... 7,000,000 6,985,043
Caterpillar Financial Services Corporation
6.202% 9/7/95..................................... 12,265,000 12,122,777
Champion International Corporation
6.151% 7/27/95.................................... 9,860,000 9,814,727
Coca Cola Company
5.925% 8/29/95.................................... 9,820,000 9,720,982
Coca Cola Company
5.866% 9/20/95.................................... 10,125,000 9,985,472
ConAgra, Inc.
6.027% 8/25/95.................................... 11,880,000 11,768,331
ConAgra, Inc.
6.027% 9/12/95.................................... 13,350,000 13,183,978
Dana Credit Corporation
6.194% 9/8/95..................................... 1,560,000 1,541,648
Dean Witter Discover & Company
6.091% 7/31/95.................................... 10,000,000 9,948,559
Enron Corp.
6.495% 9/19/95.................................... 5,435,000 5,361,016
Enron Corp.
6.044% 9/18/95.................................... 9,800,000 9,668,244
Ford Motor Credit Company
5.898% 9/22/95.................................... 7,540,000 7,433,560
GTE Finance Corporation
6.056% 8/3/95..................................... 7,285,000 7,244,799
General Motors Acceptance Corporation
6.190% 7/14/95.................................... 4,275,000 4,265,424
General Motors Acceptance Corporation
5.920% 10/20/95................................... 14,535,000 14,261,419
Georgia Power Company
6.178% 7/6/95..................................... 5,875,000 5,869,769
Georgia Power Company
6.092% 7/17/95.................................... 7,900,000 7,878,219
Georgia Power Company
6.039% 8/10/95.................................... 7,000,000 6,950,388
Hercules Incorporated
6.093% 7/18/95.................................... 6,800,000 6,780,080
Hershey Foods Corp.
6.015% 8/21/95.................................... 5,685,000 5,635,858
IBM Credit Corporation
6.091% 7/12/95.................................... 8,155,000 8,139,285
IBM Credit Corporation
5.864% 8/31/95.................................... 7,640,000 7,560,395
Illinois Power Company
6.289% 7/25/95.................................... 5,385,000 5,362,912
Kimberly Clark Corp.
6.003% 8/11/95.................................... 7,700,000 7,645,600
Kimberly Clark Corp.
5.830% 9/8/95..................................... 9,875,000 9,758,832
McCormick & Company Inc.
6.145% 7/5/95..................................... 4,515,000 4,511,836
Melville Corporation
6.220% 12/5/95.................................... 8,965,000 8,726,954
Motorola Inc.
6.061% 7/21/95.................................... 9,780,000 9,746,295
Motorola Inc.
5.994% 8/17/95.................................... 3,520,000 3,491,025
Market
Principal Value
Amount (Note 2A)
------------ ------------
SHORT TERM INVESTMENTS* (Continued)
Commercial Paper (Continued)
Motorola Inc.
5.963% 8/18/95.................................... $ 8,835,000 $ 8,761,924
Northern States Power Company
6.019% 9/15/95.................................... 10,500,000 10,364,127
NYNEX Corp.
6.124% 7/28/95.................................... 7,055,000 7,020,818
NYNEX Corp.
5.860% 9/11/95.................................... 13,940,000 13,768,983
Olin Corporation
6.300% 7/7/95..................................... 6,615,000 6,608,161
ORIX Credit Alliance, Inc.
6.241% 7/26/95.................................... 7,495,000 7,462,443
ORIX Credit Alliance, Inc.
6.128% 8/15/95.................................... 5,170,000 5,130,568
ORIX Credit Alliance, Inc.
6.087% 9/13/95.................................... 6,594,000 6,510,888
ORIX Credit Alliance, Inc.
6.092% 9/25/95.................................... 6,515,000 6,419,745
Philip Morris Companies, Inc.
5.999% 8/8/95..................................... 10,000,000 9,934,842
Philip Morris Companies, Inc.
6.005% 8/14/95.................................... 7,775,000 7,717,017
Potomac Electric Power Company
6.110% 8/2/95..................................... 6,990,000 6,951,135
Potomac Electric Power Company
6.104% 8/9/95..................................... 14,140,000 14,043,866
Proctor & Gamble Company
5.929% 8/16/95.................................... 4,000,000 3,968,294
Proctor & Gamble Company
5.913% 9/14/95.................................... 4,300,000 4,245,079
PS Colorado Credit Corporation
6.214% 8/1/95..................................... 8,085,000 8,042,166
PS Colorado Credit Corporation
6.185% 8/30/95.................................... 6,000,000 5,938,492
Rite Aid Corporation
6.194% 8/3/95..................................... 5,325,000 5,293,967
Rite Aid Corporation
6.050% 11/6/95.................................... 10,000,000 9,783,208
Shell Oil Company
5.851% 8/24/95.................................... 8,465,000 8,385,608
Shell Oil Company
5.811% 9/29/95.................................... 11,200,000 11,028,718
Textron Financial Corporation
6.132% 7/14/95.................................... 7,090,000 7,074,459
Textron Financial Corporation
5.888% 9/6/95..................................... 7,160,000 7,078,177
Textron Financial Corporation
6.101% 8/16/95.................................... 8,300,000 8,235,836
VF Corporation
6.192% 9/5/95..................................... 5,530,000 5,467,734
Western Resources Inc.
6.141% 8/7/95..................................... 10,000,000 9,936,243
Whirlpool Financial Corp.
6.146% 7/20/95.................................... 7,820,000 7,793,544
Whirlpool Financial Corp.
6.127% 7/24/95.................................... 9,800,000 9,761,478
Xerox Corp.
5.822% 8/23/95.................................... 14,070,000 13,942,573
------------ -----------
Total Short-Term Investments
(Cost $537,852,371)............................... $542,434,000 537,697,097
============ -----------
</TABLE>
20
<PAGE>
MML Blend Fund
SCHEDULE OF INVESTMENTS (Continued)
June 30, 1995
(Unaudited)
<TABLE>
<CAPTION>
Market
Value
(Note 2A)
--------------
<S> <C> <C>
Total Investments - 99.56%
(Cost $1,388,254,969) (a) $1,679,351,916
Other Assets .87 14,672,607
Liabilities (.43) (7,306,563)
-------- --------------
Net Assets 100.00% $1,686,717,960
======== ==============
</TABLE>
Table of Open Forward Commitment Contracts
<TABLE>
<CAPTION>
Forward Aggregate Expiration
Commitment Face Value of of Unrealized
Contracts Contracts Contracts Appreciation
---------- ------------- ---------- ------------
<S> <C> <C> <C>
Government National Mortgage
Association - ARMS
6.000% due 12/15/15 $ 5,000,000 July 1995 $ 3,894
United States of America
7.500% due 2/15/05 51,200,000 August 1995 2,942,781
--------------
Total Forward Commitment
Contracts $ 2,946,675
==============
(a) Federal Income Tax Information: At
June 30, 1995 the net unrealized
appreciation on investments and forward
commitment contracts based on cost of
$1,446,484,285 for federal income tax
purposes is as follows:
Aggregate gross unrealized appreciation for
all investments and forward commitments in
which there is an excess of market value
over tax cost.......................................... $ 300,484,427
Aggregate gross unrealized depreciation for
all investments and forward commitments in
which there is an excess of tax cost over
market value........................................... (6,950,501)
--------------
Net unrealized appreciation............................ $ 293,533,926
==============
</TABLE>
*Rates represent annualized yield on date of purchase and are unaudited.
See Notes to Financial Statements.
21
<PAGE>
MML Series Investment Fund
Notes To Financial Statements
(Unaudited)
1. History
MML Series Investment Fund (the "MML Trust") is registered under the Investment
Company Act of 1940 as a no load, registered open end, diversified management
investment company. MML Equity Fund, MML Money Market Fund, MML Managed Bond
Fund and MML Blend Fund (the "Funds") are the four series of shares of the
MML Trust. The MML Trust is organized under the laws of the Commonwealth of
Massachusetts pursuant to an Agreement and Declaration of Trust.
The MML Trust was established by Massachusetts Mutual Life Insurance Company
("MassMutual") for the purpose of providing vehicles for the investment of
assets of various separate investment accounts established by MassMutual and by
life insurance companies which are subsidiaries of MassMutual. Shares of the
MML Trust are not offered to the general public. MassMutual at June 30, 1995,
was the beneficial owner of 1.2% of MML Blend Fund's shares.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed
consistently by each Fund in the preparation of the financial statements in
conformity with generally accepted accounting principles.
A. Investment Valuation
Equity securities are valued on the basis of valuations furnished by a pricing
service, authorized by the Board of Trustees, which provides the last reported
sale price for securities listed on a national securities exchange, or on the
NASDAQ national market system. If securities are unlisted, or there is no
reported sale price, the bid price of the prior trade date will be used. Long-
term bonds are valued on the basis of valuations furnished by a pricing
service, authorized by the Board of Trustees, which determines valuations
taking into account appropriate factors such as institutional-size, trading in
similar groups of securities, yield, quality, coupon rate, maturity, type of
issue, trading characteristics and other market data.
For MML Equity Fund, MML Managed Bond Fund, and MML Blend Fund, short-term
securities with more than sixty days to maturity from the date of purchase are
valued at market and short-term securities having a maturity from the date of
purchase of sixty days or less are valued at amortized cost. MML Money Market
Fund's portfolio securities are valued at amortized cost in accordance with a
rule of the Securities and Exchange Commission pursuant to which MML Money
Market Fund must adhere to certain conditions. It is the intention of
MML Money Market Fund to maintain a per share net asset value of $1.00.
B. Accounting For Investments
Investment transactions are accounted for on trade date. Dividend income is
recorded on the ex-dividend date. Interest income is recorded on the accrual
basis. Premiums and discounts on short-term securities are amortized in
determining interest income.
The cost basis of long-term bonds is not adjusted for amortization of premium
or accrual of discount since MML Managed Bond Fund and MML Blend Fund do not
generally intend to hold such investments until maturity; however, the
MML Trust has elected to accrue for financial reporting purposes, certain
discounts which are required to be accrued for federal income tax purposes.
Realized gains and losses on investment transactions and unrealized
appreciation and depreciation of investments are reported for financial
statement and federal income tax purposes on the identified cost method.
C. Federal Income Tax
The MML Trust has established a policy for each of the Funds to comply with
the provisions of the Internal Revenue Code applicable to regulated investment
companies. As a result, the Funds will not be subject to federal income tax on
any net investment income and any net capital gains to the extent they are
distributed or are deemed to have been distributed to shareholders.
Actual distributions differ from net investment income and net realized gains
due to timing differences, primarily the deferral of wash sale losses.
22
<PAGE>
Notes To Financial Statements (Continued)
D. Forward Commitments
Each Fund may purchase or sell securities on a "when issued" or delayed
delivery or on a forward commitment basis. The Funds use forward commitments
to manage interest rate exposure or as a temporary substitute for purchasing
or selling particular debt securities. Forward commitments are not used for
purposes of trading. Settlement for securities purchased on a forward
commitment basis can take place a month or more after the date of the
transaction. The Fund generally does not take delivery on these forward
commitments, but such commitments are instead settled with offsetting
transactions. When a forward commitment contract is closed, the Funds record a
realized gain or loss. Forward commitments involve a risk of loss if the value
of the security to be purchased declines prior to the settlement date. The
Funds could also be exposed to loss if they can not close out their forward
commitments because of an illiquid secondary market, or the inability of
counterparties to perform. The Fund monitors exposure to ensure counterparties
are credit worthy and concentration of exposure is minimized. The Funds
instruct the custodian to segregate assets in a separate account with a
current market value at least equal to the amount of its forward purchase
commitments. The price of the underlying security and the date when the
securities will be delivered and paid for are fixed at the time the
transaction is negotiated. The value of the forward commitment is determined
by management using a commonly accepted pricing model and fluctuates based
upon changes in the value of the underlying security and market repo rates.
Such rates equate the counterparty's cost to purchase and finance the
underlying security to the earnings received on the security and forward
delivery proceeds. The Funds record on a daily basis the unrealized
appreciation/depreciation based upon changes in the value of the forward
commitment. At June 30, 1995, the cost (value) of forward commitments to
purchase securities amounted to $2,001,563 ($2,003,120) and $57,719,621
($60,666,296) for the MML Managed Bond Fund and MML Blend Fund, respectively.
3. Capital Loss Carryforward
The accumulated net realized loss on investments for the MML Money Market Fund
results in a capital loss carryforward of $8,893 which is available for federal
income tax purposes to offset future capital gains. Of the total carryforward,
$485 expires December 31, 1997, $1,639 expires December 31, 1998, $1,204 expires
December 31, 2000, $201 expires December 31, 2001 and $5,364 expires
December 31, 2002.
The accumulated net realized loss on investments for the MML Managed Bond Fund
results in a capital loss carryforward of $2,170,114 which is available for
federal income tax purposes to offset future capital gains. This carryforward
expires December 31, 2002.
4. Investment Management Fee
MassMutual provides all investment advisory, management and administrative
services needed by the Funds. For acting as such, MassMutual receives a
quarterly fee from each Fund at the annual rate of .50% of the first
$100,000,000 of the average daily net asset value of each Fund, .45% of the
next $200,000,000, .40% of the next $200,000,000, and .35% of any excess over
$500,000,000.
MassMutual has entered into an investment sub-advisory agreement with Concert
Capital Management, Inc. ("Concert"), a wholly-owned subsidiary of Babson
Acquisition Corporation which is a controlled subsidiary of MassMutual. The
agreement provides that Concert manages the assets of MML Equity Fund and the
assets of the Equity Sector of MML Blend Fund. MassMutual pays Concert a
quarterly fee equal to an annual rate of .13% of the average daily net asset
value of MML Equity Fund and the Equity Sector of MML Blend Fund.
MassMutual has agreed, at least through April 30, 1996, to bear the expenses
of the Funds to the extent that the aggregate expenses (excluding each Fund's
management fee, interest, taxes, brokerage commissions and extraordinary
expenses) incurred during each Fund's fiscal year exceed .11% of the average
daily net asset value of each Fund for such year. For the period ended June 30,
1995, MassMutual was not required to reimburse the Funds for any expenses.
23
<PAGE>
Notes To Financial Statements (Continued)
5. Purchases and Sales of Investments and Forward Commitments
<TABLE>
<CAPTION>
Proceeds
Acquisition from Sales
Investments Cost and Maturities
- ----------- -------------- --------------
<S> <C> <C>
MML EQUITY FUND
Equities....................................................................... $ 107,383,620 $ 69,581,785
Short term investments......................................................... 578,278,251 546,873,639
MML MONEY MARKET FUND
Short term investments......................................................... 318,594,877 312,603,826
MML MANAGED BOND FUND
Bonds and notes................................................................ 19,420,199 12,490,612
U.S. Government investments - long term........................................ 12,344,964 13,046,564
Short term investments......................................................... 270,615,558 268,809,554
MML BLEND FUND
Equities....................................................................... 51,896,506 79,972,831
Bonds and notes................................................................ 21,353,638 14,650,722
U.S. Government investments - long term........................................ 25,773,520 71,655,642
Short term investments......................................................... 1,089,718,069 991,520,633
<CAPTION>
Cost
Forward Commitments of Contracts
- ------------------- --------------
<S> <C>
MML MANAGED BOND FUND
U.S. Treasury and GNMA Forward Commitment Contracts:
Contracts opened.............................................................. $ 16,303,086
Contracts closed.............................................................. 21,317,004
Outstanding at June 30, 1995................................................. 2,001,563
MML BLEND FUND
U.S. Treasury and GNMA Forward Commitment Contracts:
Contracts opened.............................................................. 119,070,211
Contracts closed.............................................................. 114,010,272
Outstanding at June 30, 1995................................................. 57,719,621
</TABLE>
6. Net Increase from Capital Share Transactions
<TABLE>
<CAPTION>
For the Period Ended June 30, 1995
---------------------------------------------------------------
MML MML
MML Money Managed MML
Equity Market Bond Blend
Fund Fund Fund Fund
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Shares
Reinvestment of dividends..................... 1,621,795 2,564,542 382,310 3,417,784
Sales of shares............................... 3,762,641 27,928,570 862,543 2,926,863
Redemptions of shares......................... (879,910) (21,744,685) (550,609) (2,334,261)
------------ ------------ ------------ ------------
Net increase.................................. 4,504,526 8,748,427 694,244 4,010,386
============ ============ ============ ============
Amount
Reinvestment of dividends..................... $ 33,282,252 $ 2,564,542 $ 4,339,430 $ 61,266,015
Sales of shares............................... 83,868,357 27,928,570 10,117,125 54,912,248
Redemptions of shares......................... (19,564,811) (21,744,685) (6,403,435) (43,581,301)
------------ ------------ ------------ ------------
Net increase.................................. $ 97,585,798 $ 8,748,427 $ 8,053,120 $ 72,596,962
============ ============ ============ ============
<CAPTION>
For the Period Ended June 30, 1994
---------------------------------------------------------------
MML MML
MML Money Managed MML
Equity Market Bond Blend
Fund Fund Fund Fund
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Shares
Reinvestment of dividends..................... 1,956,594 1,173,048 555,900 701,563
Sales of shares............................... 4,390,469 38,139,172 990,442 8,769,346
Redemptions of shares......................... (932,512) (31,335,202) (1,194,191) (1,105,900)
------------ ------------ ------------ ------------
Net increase.................................. 5,414,551 7,977,018 352,151 8,365,009
============ ============ ============ ============
Amount
Reinvestment of dividends..................... $ 40,128,958 $ 1,173,048 $ 6,751,297 $ 12,270,118
Sales of shares............................... 90,412,371 38,139,172 11,961,300 159,848,042
Redemptions of shares......................... (18,920,228) (31,335,202) (14,445,419) (20,104,899)
------------ ------------ ------------ ------------
Net increase.................................. $111,621,101 $ 7,977,018 $ 4,267,178 $152,013,261
============ ============ ============ ============
</TABLE>
24
<PAGE>
Oppenheimer Variable Account Funds
STATEMENTS OF ASSETS AND LIABILITIES
June 30, 1995
(Unaudited)
<TABLE>
<CAPTION>
Oppenheimer Oppenheimer Oppenheimer
Capital Global Strategic
Appreciation Securities Bond
Fund Fund Fund
------------ ------------ ------------
<S> <C> <C> <C>
ASSETS:
Investments, at value (cost *)(including repurchase agreements **)
-- see accompanying statements ........................................... $234,401,482 $343,764,927 $ 37,856,609
Cash ...................................................................... 554 -- --
Receivables:
Dividends and interest ................................................... 140,634 611,778 682,381
Shares of beneficial interest sold ....................................... 4,267,715 175,980 417,943
Investments sold ......................................................... 5,333,529 5,461,201 4,500
Other ..................................................................... 5,565 5,865 1,995
------------ ------------ ------------
Total assets ............................................................. 244,149,479 350,019,751 38,971,390
------------ ------------ ------------
LIABILITIES:
Bank overdraft ............................................................ -- 1,379,050 209,542
Unrealized depreciation on forward foreign currency exchange
contracts -- Note 5 ...................................................... -- 413,140 --
Payables and other liabilities:
Investments purchased..................................................... 5,998,001 3,810,732 1,254,798
Shares of beneficial interest redeemed ................................... 856,807 6,588,067 879
Other .................................................................... 30,876 72,937 14,178
------------ ------------ ------------
Total liabilities ........................................................ 6,885,684 12,263,926 1,479,397
------------ ------------ ------------
NET ASSETS ................................................................ $237,263,795 $337,755,825 $ 37,491,993
============ ============ ============
COMPOSITION OF NET ASSETS:
Paid-in capital ........................................................... $196,908,730 $346,745,609 $ 38,216,493
Undistributed net investment income ....................................... 691,561 2,554,819 180,726
Accumulated net realized gain (loss) from investment
and foreign currency transactions ........................................ 1,803,230 (30,155,054) (1,676,555)
Net unrealized appreciation on investments and translation of
assets and liabilities denominated in foreign currencies - Note 3......... 37,860,274 18,610,451 771,329
------------ ------------ ------------
NET ASSETS ................................................................ $237,263,795 $337,755,825 $ 37,491,993
============ ============ ============
SHARES OF BENEFICIAL INTEREST OUTSTANDING ................................. 8,156,777 22,702,606 7,879,524
NET ASSET VALUE, REDEMPTION PRICE AND
OFFERING PRICE PER SHARE .................................................. $29.09 $14.88 $4.76
*Cost ..................................................................... $196,541,208 $324,725,071 $ 37,095,767
**Repurchase Agreements.................................................... $ 40,916,000 $ -- $ --
</TABLE>
See accompanying Notes to Financial Statements.
1
<PAGE>
Oppenheimer Variable Account Funds
STATEMENTS OF OPERATIONS
For the Six Months Ended June 30,
1995
(Unaudited)
<TABLE>
<CAPTION>
Oppenheimer Oppenheimer Oppenheimer
Capital Global Strategic
Appreciation Securities Bond
Fund Fund Fund
------------ ------------ ------------
<S> <C> <C> <C>
INVESTMENT INCOME:
Interest ....................................................... $ 1,323,761 $ 720,452 $ 1,384,644
Dividends (net of foreign withholding taxes of *) .............. 170,688 3,175,481 41,965
------------ ------------ ------------
Total income .................................................. 1,494,449 3,895,933 1,426,609
------------ ------------ ------------
EXPENSES:
Management fees - Note 6 ....................................... 753,898 1,135,531 102,702
Custodian fees and expenses .................................... 10,244 174,802 8,715
Shareholder reports ............................................ 9,420 7,648 1,178
Legal and auditing fees ........................................ 8,885 6,198 2,996
Transfer agent ................................................. 522 263 220
Trustees' fees and expenses .................................... 570 743 218
Registration and filing fees ................................... 8,715 14,070 1,690
Other .......................................................... 3,122 790 1,562
------------ ------------ ------------
Total expenses ................................................ 795,376 1,340,045 119,281
------------ ------------ ------------
NET INVESTMENT INCOME .......................................... 699,073 2,555,888 1,307,328
------------ ------------ ------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
AND FOREIGN CURRENCY TRANSACTIONS:
Net realized gain (loss) from:
Investments .................................................... 3,214,799 (20,063,279) (842,446)
Foreign currency transactions .................................. -- (3,420,944) (63,084)
Net change in unrealized appreciation or depreciation on:
Investments ................................................... 21,927,356 16,364,020 1,677,370
Translation of assets and liabilities denominated in foreign
currencies .................................................... -- 10,089,188 130,251
------------ ------------ ------------
Net realized and unrealized gain on investments and foreign
currency transactions ......................................... 25,142,155 2,968,985 900,822
------------ ------------ ------------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS ...................................... $ 25,841,228 $ 5,524,873 $ 2,208,150
============ ============ ============
*Dividends ..................................................... $ -- $ 266,933 $ --
</TABLE>
See accompanying Notes to Financial Statements.
2
<PAGE>
Oppenheimer Variable Account Funds
STATEMENTS OF CHANGES IN NET ASSETS
For the Six Months Ended June 30, 1995 and the Year Ended December 31, 1994
<TABLE>
<CAPTION>
Oppenheimer Oppenheimer Oppenheimer
Capital Global Strategic
Appreciation Securities Bond
Fund Fund Fund
----------------------------- ----------------------------- -----------------------------
1995(2) 1994(1) 1995(2) 1994(1) 1995(2) 1994(1)
------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income .......... $ 699,073 $ 769,034 $ 2,555,888 $ 1,162,074 $ 1,307,327 $ 1,286,157
Net realized gain (loss) on
investments, options written
and foreign currency
transactions .................. 3,214,799 (1,045,951) (23,484,223) 385,837 (906,798) (796,115)
Net change in unrealized
appreciation or depreciation
on investments, options
written and translation
of assets and liabilities
denominated in foreign
currencies .................... 21,927,356 (10,016,034) 26,453,208 (24,015,375) 1,807,620 (1,120,872)
------------ ------------ ------------ ------------- ------------ ------------
Net increase (decrease) in net
assets resulting from
operations .................... 25,841,228 (10,292,951) 5,524,873 (22,467,464) 2,208,149 (630,830)
DIVIDENDS AND DISTRIBUTIONS
TO SHAREHOLDERS:
Dividends from net investment
income ........................ (719,183) (218,275) -- (359,955) (1,238,330) (1,161,570)
Distributions from net
realized gain on investments
and foreign currency
transactions .................. (363,458) -- (8,174,158) (2,441,859) -- --
Distributions in excess of net
realized gain on investments
and foreign currency
transactions .................. -- (17,112,748) -- -- -- (16,802)
BENEFICIAL INTEREST
TRANSACTIONS:
Net increase in net assets
resulting from beneficial
interest transactions -- Note 2 26,731,667 76,512,412 42,563,189 226,686,688 16,201,859 12,242,999
------------ ------------ ------------ ------------ ------------ ------------
Total increase ................. 51,490,254 48,888,438 39,913,904 201,417,410 17,171,678 10,433,797
NET ASSETS:
Beginning of year .............. 185,773,541 136,885,103 297,841,921 96,424,511 20,320,315 9,886,518
------------ ------------ ------------ ------------ ------------ ------------
End of period .................. $237,263,795 $185,773,541 $337,755,825 $297,841,921 $ 37,491,993 $ 20,320,315
============ ============ ============ ============ ============ ============
</TABLE>
1. For the year ended December 31.
2. For the six months ended June 30 -- Unaudited.
See accompanying Notes to Financial Statements.
3
<PAGE>
Oppenheimer Variable Account Funds
FINANCIAL HIGHLIGHTS
Selected per share data for each fund's share outstanding for each of the
following periods:
<TABLE>
<CAPTION>
Oppenheimer Capital Appreciation Fund
--------------------------------------------------------------------------------
Six Months
Ended Year Ended
June 30, 1995 December 31,
(Unaudited) 1994 1993 1992 1991 1990
--------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE OPERATING DATA:
Net asset value, beginning of year $25.95 $31.64 $26.04 $23.24 $15.24 $20.40
Income (loss) from investment operations:
Net investment income .08 .10 .05 .06 .08 .32
Net realized and unrealized gain (loss) on
investments 3.20 (2.22) 6.71 3.43 8.18 (3.54)
---------------------------------------------------------------------------------
Total income (loss) from investment operations 3.28 (2.12) 6.76 3.49 8.26 (3.22)
---------------------------------------------------------------------------------
Dividends and distributions to shareholders:
Dividends from net investment income (.09) (.04) (.06) (.14) (.26) (.53)
Distributions from net realized gain on
investments (.05) (3.53) (1.10) (.55) -- (1.41)
---------------------------------------------------------------------------------
Total dividends and distributions to shareholders (.14) (3.57) (1.16) (.69) (.26) (1.94)
---------------------------------------------------------------------------------
Net asset value, end of period $29.09 $25.95 $31.64 $26.04 $23.24 $15.24
---------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE/(1)/ 12.69% (7.59)% 27.32% 15.42% 54.72% (16.82)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) $237,264 $185,774 $136,885 $83,335 $49,371 $23,295
Average net assets (in thousands) $203,269 $153,832 $98,228 $56,371 $34,887 $24,774
Number of shares outstanding at end of period
(in thousands) 8,157 7,158 4,326 3,201 2,125 1,528
Ratios to average net assets:
Net investment income .69%/(2)/ .50% .23% .30% .81% 1.93%
Expenses .79%/(2)/ .57% .47% .54% .63% .71%
Portfolio turnover rate/(3)/ 55.0% 96.5% 122.8% 78.9% 122.3% 222.0%
</TABLE>
1. Assumes a hypothetical initial investment on the business day before the
first day of the fiscal period, with all dividends and distributions
reinvested in additional shares on the reinvestment date, and redemption at
the net asset value calculated on the last business day of the fiscal period.
Total returns are not annualized for periods of less than one full year.
Total return information does not reflect expenses that apply at the separate
account level or to related insurance products. Inclusion of these charges
would reduce the total return figures for all periods shown.
2. Annualized.
3. The lesser of purchases or sales of portfolio securities for a period,
divided by the monthly average of the market value of portfolio securities
owned during the period. Securities with a maturity or expiration date at the
time of acquisition of one year or less are excluded from the calculation.
See accompanying Notes to Financial Statements.
4
<PAGE>
Oppenheimer Variable Account Funds
FINANCIAL HIGHLIGHTS (Continued)
<TABLE>
<CAPTION>
Oppenheimer Global Securities Fund
-------------------------------------------------------------------------
Six Months
Ended Year Ended
June 30, 1995 December 31,
(Unaudited) 1994 1993 1992 1991 1990/(1)/
-------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE OPERATING DATA:
Net asset value, beginning of year $15.09 $16.30 $9.57 $10.38 $10.04 $10.00
Income (loss) from investment operations:
Net investment income .11 .04 (.02) .07 .04 --
Net realized and unrealized gain
(loss) on investments and foreign
currency transactions .08 (.96) 6.75 (.80) .30 .04
-------------------------------------------------------------------------
Total income (loss) from investment operations .19 (.92) 6.73 (.73) .34 .04
-------------------------------------------------------------------------
Dividends and distributions to shareholders:
Dividends from net investment income -- (.04) -- (.04) -- --
Distributions from net realized gain on
investments and foreign currency transactions (.40) (.25) -- (.04) -- --
-------------------------------------------------------------------------
Total dividends and distributions to shareholders (.40) (.29) -- (.08) -- --
-------------------------------------------------------------------------
Net asset value, end of period $14.88 $15.09 $16.30 $9.57 $10.38 $10.04
=========================================================================
TOTAL RETURN, AT NET ASSET VALUE/(2)/ 1.42% (5.72)% 70.32% (7.11)% 3.39% .40%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) $337,756 $297,842 $96,425 $13,537 $7,339 $432
Average net assets (in thousands) $309,968 $214,545 $31,696 $11,181 $3,990 $263
Number of shares outstanding at end of period
(in thousands) 22,703 19,743 5,917 1,415 707 43
Ratios to average net assets:
Net investment income 1.66%/(3)/ .54% .72% 1.04% .75% .08%/(3)/
Expenses .87%/(3)/ .91% .92% 1.06% 1.32% 6.84%/(3)/
Portfolio turnover rate/(4)/ 64.9% 70.4% 65.1% 34.1% 29.5% 0.0%
</TABLE>
1. For the period from November 12, 1990 (commencement of operations) to
December 31, 1990.
2. Assumes a hypothetical initial investment on the business day before the
first day of the fiscal period, with all dividends and distributions
reinvested in additional shares on the reinvestment date, and redemption at
the net asset value calculated on the last business day of the fiscal period.
Total returns are not annualized for periods of less than one full year.
Total return information does not reflect expenses that apply at the separate
account level or to related insurance products. Inclusion of these charges
would reduce the total return figures for all periods shown.
3. Annualized.
4. The lesser of purchases or sales of portfolio securities for a period,
divided by the monthly average of the market value of portfolio securities
owned during the period. Securities with a maturity or expiration date at the
time of acquisition of one year or less are excluded from the calculation.
See accompanying Notes to Financial Statements.
5
<PAGE>
Oppenheimer Variable Account Funds
FINANCIAL HIGHLIGHTS (Continued)
<TABLE>
<CAPTION>
Oppenheimer Strategic Bond Fund
-------------------------------------------------
Six Months
Ended Year Ended
June 30, 1995 December 31,
(Unaudited) 1994 1993/(1)/
-------------------------------------------------
<S> <C> <C> <C>
PER SHARE OPERATING DATA:
Net asset value, beginning of year $4.60 $5.12 $5.00
Income (loss) from investment operations:
Net investment income .21 .35 .10
Net realized and unrealized gain (loss) on investments,
options written and foreign currency transactions .14 (.54) .11
-------------------------------------------------
Total income (loss) from investment operations .35 (.19) .21
-------------------------------------------------
Dividends and distributions to shareholders:
Dividends from net investment income (.19) (.32) (.09)
Distributions from net realized gain on investments -- -- --
Distributions in excess of net realized gain on investments,
options written and foreign currency transactions -- (.01) --
-------------------------------------------------
Total dividends and distributions to shareholders (.19) (.33) (.09)
-------------------------------------------------
Net asset value, end of period $4.76 $4.60 $5.12
=================================================
TOTAL RETURN, AT NET ASSET VALUE/(2)/ 7.75% (3.78)% 4.25%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) $37,492 $20,320 $9,887
Average net assets (in thousands) $27,859 $15,389 $4,259
Number of shares outstanding at end of period (in thousands) 7,880 4,418 1,930
Ratios to average net assets:
Net investment income 11.34%/(3)/ 8.36% 5.67%/(3)/
Expenses 1.04%/(3)/ .87% .96%/(3)/
Portfolio turnover rate/(4)/ 59.9% 136.6% 10.9%
</TABLE>
1. For the period from May 3, 1993 (commencement of operations) to December 31,
1993.
2. Assumes a hypothetical initial investment on the business day before the
first day of the fiscal period, with all dividends and distributions
reinvested in additional shares on the reinvestment date, and redemption at
the net asset value calculated on the last business day of the fiscal period.
Total returns are not annualized for periods of less than one full year.
Total return information does not reflect expenses that apply at the separate
account level or to related insurance products. Inclusion of these charges
would reduce the total return figures for all periods shown.
3. Annualized.
4. The lesser of purchases or sales of portfolio securities for a period,
divided by the monthly average of the market value of portfolio securities
owned during the period. Securities with a maturity or expiration date at the
time of acquisition of one year or less are excluded from the calculation.
See accompanying Notes to Financial Statements.
6
<PAGE>
Oppenheimer Variable Account Funds -- Oppenheimer Capital Appreciation Fund
Statement of Investments
June 30, 1995
(Unaudited)
<TABLE>
<CAPTION>
Principal Market Value
Amount (Note 1)
------ ------------
<S> <C> <C>
Convertible Corporate Bonds and Notes -- 2.4%
Consumer Non-Cyclicals -- 1.0%
Healthcare/Drugs -- 0.3%
PerSeptive Biosystems, Inc.,
8.25% Cv. Sub. Debs.,
8/15/01/(1)/................................ $ 850,000 $ 773,500
------------
Healthcare/Supplies & Services -- 0.7%
Medaphis Corp., 6.50% Cv. Sub. Nts.,
1/1/00/(1)/................................. 1,000,000 1,561,250
------------
Technology -- 1.4%
Computer Hardware -- 0.4%
Danka Business Systems PLC,
6.75% Cv. Sub. Nts.,
4/01/02 /(1)/............................... 800,000 844,000
------------
Computer Software -- 0.7%
Sierra On-Line, Inc., 6.50% Cv. Sub.
Nts., 4/1/01/(1)/........................... 1,000,000 1,672,500
------------
Telecommunications-Technology -- 0.3%
Intelcom Group, Inc., 7% Cv. Sub. Nts.,
10/30/98/(2)/............................... 1,105,000 736,605
------------
Total Convertible Corporate Bonds and
Notes (Cost $4,796,200)...................... 5,587,855
------------
<CAPTION>
Shares
------
<S> <C> <C>
Common Stocks -- 79.2%
Basic Materials -- 0.8%
Chemicals -- 0.8%
Georgia Gulf Corp. .......................... 57,000 1,859,621
Consumer Cyclicals -- 23.5%
Autos & Housing -- 0.7%
Recoton Corp./(3)/........................... 84,000 1,638,000
Leisure & Entertainment -- 6.5%
Apple South, Inc. ........................... 46,100 898,950
Brunswick Corp. ............................. 42,000 714,000
Cannondale Corp./(3)/........................ 90,000 1,260,000
Circus Circus Enterprises, Inc./(3)/......... 73,400 2,587,350
Department 56, Inc./(3)/..................... 50,300 1,923,975
Doubletree Corp./(3)/........................ 60,000 1,293,750
La Quinta Inns, Inc. ........................ 70,000 1,890,000
Lone Star Steakhouse & Saloon/(3)/........... 50,000 1,515,625
Sonic Corp./(3)/............................. 80,000 2,200,000
Station Casinos, Inc./(3)/................... 69,000 1,190,250
------------
15,473,900
------------
Media -- 1.1%
SFX Broadcasting, Inc., Cl. A/(3)/........... 48,200 1,289,350
Sinclair Broadcast Group, Inc./(3)/.......... 50,000 1,400,000
------------
2,689,350
------------
Retail: General -- 3.3%
Dollar General Corp. ........................ 64,800 2,049,300
Dollar Tree Stores, Inc./(3)/................ 38,000 1,007,000
Nautica Enterprises, Inc./(3)/............... 35,000 1,268,750
Revco D.S., Inc./(3)/........................ 150,000 3,600,000
------------
7,925,050
------------
<CAPTION>
Market Value
Shares (Note 1)
------ ------------
<S> <C> <C>
Common Stocks (Continued)
Consumer Cyclicals (Continued)
Retail: Specialty -- 11.9%
AmeriSource Health Corp./(3)/................ 48,500 $ 1,106,406
Borders Group, Inc./(3)/..................... 41,900 602,313
Claire's Stores, Inc. ....................... 90,000 1,631,250
Copart, Inc./(3)/............................ 98,100 2,231,775
Corporate Express, Inc./(3)/................. 52,500 1,122,188
CUC International, Inc./(3)/................. 36,000 1,512,000
General Nutrition Cos., Inc./(3)/............ 99,400 3,491,425
Hollywood Entertainment Corp./(3)/........... 45,000 2,025,000
Micro Warehouse, Inc./(3)/................... 65,000 2,990,000
Nike, Inc., Cl. B............................ 46,000 3,864,000
OfficeMax, Inc./(3)/......................... 30,500 850,188
Petco Animal Supplies, Inc./(3)/............. 40,000 930,000
Staples, Inc./(3)/........................... 45,000 1,299,375
Tommy Hilfiger Corp./(3)/.................... 81,700 2,287,600
Viking Office Products, Inc./(3)/............ 65,000 2,380,625
------------
28,324,145
------------
Consumer Non-Cyclicals -- 14.1%
Beverages -- 1.2%
Canandaigua Wine Co., Inc., Cl. A/(3)/....... 65,000 2,908,750
------------
Healthcare/Drugs -- 4.5%
Dura Pharmaceuticals, Inc./(3)/.............. 75,000 1,410,938
Elan Corp. PLC, ADR/(3)/..................... 45,000 1,833,750
Ethical Holdings, Sponsored ADR/(3)/......... 50,000 287,500
Martek Biosciences Corp./(3)/................ 40,000 540,000
Matrix Pharmaceutical, Inc./(3)/............. 30,400 410,400
R.P. Scherer Corp./(3)/...................... 60,000 2,535,000
Roberts Pharmaceutical Corp./(3)/............ 33,200 730,400
Watson Pharmaceuticals, Inc./(3)/............ 75,000 2,925,000
------------
10,672,988
------------
Healthcare/Supplies & Services -- 7.9%
American Oncology Resources, Inc./(3)/....... 7,500 208,125
Community Psychiatric Centers/(3)/........... 65,000 731,250
Gulf South Medical Supply, Inc./(3)/......... 63,400 1,521,600
Horizon Healthcare Corp./(3)/................ 83,700 1,496,138
Integrated Health Services, Inc. ............ 20,500 615,000
Lincare Holdings, Inc./(3)/.................. 59,200 1,572,500
Omnicare, Inc. .............................. 59,800 1,622,075
Ornda Healthcorp/(3)/........................ 80,000 1,370,000
Ostex International, Inc./(3)/............... 35,000 813,750
Oxford Health Plans, Inc./(3)/............... 15,000 708,750
PacifiCare Health Systems, Inc./(3)/......... 21,300 1,086,300
PhyCor, Inc./(3)/............................ 50,000 1,756,250
Physicians Health Services, Inc., Cl. A/(3)/. 18,400 487,600
Physicians Resource Group, Inc./(3)/......... 75,000 1,003,125
Pyxis Corp./(3)/............................. 50,000 1,131,250
Quorum Health Group, Inc./(3)/............... 46,000 931,500
Spine-Tech, Inc./(3)/........................ 21,000 225,750
Steris Corp./(3)/............................ 29,000 1,406,500
------------
18,687,463
------------
Household Goods -- 0.5%
Ultralife Batteries, Inc./(3)/............... 60,000 1,095,000
------------
Energy -- 1.8%
Energy Services & Producers -- 1.8%
Cross Timbers Oil Co. ....................... 30,800 488,950
Nabors Industries, Inc./(3)/................. 100,000 825,000
Newfield Exploration Co./(3)/................ 20,000 567,500
NUMAR Corp./(3)/............................. 36,000 373,500
</TABLE>
7
<PAGE>
Oppenheimer Variable Account Funds -- Oppenheimer Capital Appreciation Fund
Statement of Investments (Continued)
June 30, 1995
(Unaudited)
<TABLE>
<CAPTION>
Market Value
Shares (Note 1)
------ ------------
<S> <C> <C>
Common Stocks (Continued)
Energy (Continued)
Energy Services & Producers (Continued)
St. Mary Land & Exploration Co. ............. 50,000 $ 625,000
Stone Energy Corp./(3)/...................... 35,000 415,625
Weatherford International, Inc./(3)/......... 80,000 1,020,000
------------
4,315,575
Financial -- 1.5%
Diversified Financial -- 1.4%
Advanta Corp., Cl. B......................... 40,000 1,510,000
First USA, Inc. ............................. 39,400 1,748,375
------------
3,258,375
------------
Insurance -- 0.1%
APPS Dental, Inc./(3)/....................... 10,000 210,000
------------
Industrial -- 7.9%
Electrical Equipment -- 1.3%
C.P. Clare Corp./(3)/........................ 3,800 76,000
Molex, Inc., Cl. A........................... 56,250 2,053,125
Oak Industries, Inc./(3)/.................... 35,000 901,250
------------
3,030,375
------------
Industrial Materials -- 0.7%
Kennametal, Inc. ........................... 45,000 1,586,250
------------
Industrial Services -- 5.9%
Danka Business System PLC,
Sponsored ADR.............................. 70,000 1,693,125
First Data Corp. ........................... 35,000 1,990,625
Loewen Group, Inc. ......................... 35,000 1,246,875
Open Environment Corp./(3)/................. 12,500 256,250
Reynolds & Reynolds Co., Cl. A.............. 47,000 1,386,500
Sensormatic Electronics Corp. .............. 50,000 1,775,000
Stewart Enterprises, Inc. .................. 50,000 1,675,000
Transaction Systems Architects, Inc./(3)/... 40,000 1,030,000
United Waste Systems, Inc./(3)/............. 80,000 2,880,000
------------
13,933,375
------------
Technology -- 29.6%
Computer Hardware -- 5.1%
Adaptec, Inc./(3)/.......................... 57,300 2,120,100
Andrew Corp./(3)/........................... 30,250 1,750,719
Boca Research, Inc./(3)/.................... 35,000 945,000
EMC Corp./(3)/.............................. 99,000 2,400,750
In Focus Systems, Inc./(3)/................. 70,000 1,890,000
Number Nine Visual Technology Corp./(3)/.... 50,000 1,037,500
Planar Systems, Inc./(3)/................... 50,000 1,112,500
Proxima Corp./(3)/.......................... 35,000 835,625
------------
12,092,194
------------
Computer Software -- 10.9%
7th Level, Inc./(3)/........................ 60,000 855,000
Adobe Systems, Inc. ........................ 10,000 580,000
Computer Horizons Corp./(3)/................ 80,000 1,280,000
Compuware Corp./(3)/........................ 70,000 2,152,500
Concentra Corp./(3)/........................ 125,000 1,218,750
Datalogix International, Inc./(3)/.......... 13,000 316,875
Dendrite International, Inc./(3)/........... 15,000 241,875
Discreet Logic, Inc./(3)/................... 10,000 330,000
Expert Software, Inc./(3)/.................. 28,000 518,000
FileNet Corp./(3)/.......................... 45,000 1,816,875
Firefox Communications, Inc./(3)/........... 31,300 805,975
First Financial Management Corp. ........... 25,000 2,137,500
HBO & Co. .................................. 40,000 2,180,000
Inference Corp., Cl. A/(3)/................. 25,000 353,125
<CAPTION>
Market Value
Shares (Note 1)
------ ------------
<S> <C> <C>
Common Stocks (Continued)
Technology (Continued)
Computer Software (Continued)
Informix Corp./(3)/......................... 120,000 $ 3,045,000
Intuit, Inc./(3)/........................... 15,000 1,140,000
Maxis, Inc./(3)/............................ 30,000 798,750
Pairgain Technologies, Inc./(3)/............ 50,000 956,250
Physician Computer Network, Inc./(3)/....... 115,000 445,625
Rational Software Corp./(3)/................ 70,000 953,750
Seer Technologies, Inc./(3)/................ 7,500 155,625
Softkey International, Inc./(3)/............ 65,000 2,071,875
Systemsoft Corp./(3)/....................... 40,000 580,000
Viasoft, Inc./(3)/.......................... 75,000 984,375
------------
25,917,725
------------
Electronics -- 2.4%
ANADIGICS, Inc./(3)/........................ 21,000 409,500
General Instrument Corp./(3)/............... 35,000 1,343,125
ITI Technologies, Inc./(3)/................. 60,000 1,425,000
Oak Technology, Inc./(3)/................... 24,500 900,375
Sanmina Corp./(3)/.......................... 28,300 1,075,400
VLSI Technology, Inc./(3)/.................. 15,000 451,875
------------
5,605,275
------------
Telecommunications-Technology -- 11.2%
ADC Telecommunications, Inc./(3)/........... 60,000 2,145,000
ALC Communications Corp./(3)/............... 35,000 1,579,375
Arch Communications Group, Inc./(3)/........ 110,000 2,447,500
DSC Communications Corp./(3)/............... 50,000 2,325,000
Glenayre Technologies, Inc./(3)/............ 51,750 2,639,250
Harmonic Lightwaves, Inc./(3)/.............. 25,000 418,750
IntelCom Group, Inc./(3)/................... 30,000 254,719
LCI International, Inc./(3)/................ 66,300 2,030,438
Mobilemedia Corp./(3)/...................... 45,000 922,500
Periphonics Corp./(3)/...................... 43,800 755,550
ProNet, Inc./(3)/........................... 100,000 2,050,000
Sitel Corp./(3)/............................ 59,300 1,059,988
Tellabs, Inc./(3)/.......................... 90,000 4,331,250
Teltrend, Inc./(3)/......................... 50,000 987,500
WorldCom, Inc./(3)/......................... 100,598 2,716,146
------------
26,662,966
------------
Total Common Stocks
(Cost $150,776,148)......................... 187,886,377
------------
<CAPTION>
Units
-----
<S> <C> <C>
Rights, Warrants and Certificates -- 0.0%
Jan Bell Marketing, Inc. Wts.,
Exp. 12/98.................................. 532 --
Tapistron International, Inc. Wts.,
Exp. 6/97................................... 120,000 11,250
Windmere Corp. Wts., Exp. 1/98............... 381 --
Total Rights, Warrants and
Certificates (Cost $52,860)................. 11,250
------------
</TABLE>
8
<PAGE>
Oppenheimer Variable Account Funds -- Oppenheimer Capital Appreciation Fund
Statement of Investments (Continued)
June 30, 1995
(Unaudited)
<TABLE>
<CAPTION>
Principal Market Value
Amount (Note 1)
------ ------------
<S> <C> <C>
Repurchase Agreements -- 17.2%
Repurchase agreement with First
Chicago Capital Markets, 6.125%, dated
6/30/95, to be repurchased at $40,936,884
on 7/3/95, collateralized by U.S. Treasury
Bonds, 11.25%, 2/15/15, with a value of
$4,174,142, U.S. Treasury Nts., 4.75%-
7.875%, 3/31/96-8/15/01, with a value of
$27,303,926, and U.S. Treasury Bills
maturing 9/28/95-12/14/95, with a value of
$10,297,141 (Cost $40,916,000)............... $40,916,000 $ 40,916,000
-------------
Total Investments, at Value (Cost
$196,541,208)................................. 98.8% 234,401,482
------ -------------
Other Assets Net of Liabilities................ 1.2 2,862,313
------ -------------
Net Assets..................................... 100.0% $ 237,263,795
====== =============
</TABLE>
/(1)/ Represents a security sold under Rule 144A, which is exempt from
registration under the Securities Act of 1933, as amended. This
security has been determined to be liquid under guidelines established
by the Board of Trustees. These securities amount to $4,851,250 or 2% of
the Fund's net assets, at June 30, 1995.
/(2)/ Interest or dividend is paid in kind.
/(3)/ Non-income producing security
See accompanying Notes to Financial Statements.
9
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Global Securities Fund
STATEMENT OF INVESTMENTS
June 30, 1995
(Unaudited)
<TABLE>
<CAPTION>
Principal Market Value
Amount (1) (Note 1)
------------- ------------
<S> <C> <C>
Certificates of Deposit -- 0.7%
Cayman Time Deposit, 5.75%, 7/31/95
(Cost $2,300,000)/(2)(6)/................. $ 2,300,000 $ 2,300,000
-----------
Non-Convertible Corporate Bonds
and Notes -- 0.1%
Mediobanca, 4.50% Debs., 1/1/00
(Cost $307,078) ITL...................... 497,120,000 226,695
-----------
<CAPTION>
Shares
------
<S> <C> <C>
Common Stocks -- 101.0%
Basic Materials -- 10.1%
Chemicals -- 1.0%
Minerals Technologies, Inc................ 40,000 1,440,000
Sterling Chemicals, Inc./(3)/............. 175,000 2,034,375
-----------
3,474,375
-----------
Metals -- 2.4%
Asturiana de Zinc SA/(3)/................. 204,050 1,946,302
Swissreal Schweiz Liegenscha.............. 2,800 3,159,407
Ugine SA.................................. 41,600 2,926,370
-----------
8,032,079
-----------
Paper -- 6.7%
Asia Pulp & Paper Co. Ltd., ADR/(3)/...... 144,000 1,818,000
Corticeira Amorim SA...................... 129,700 1,948,377
Fletcher Challenge Ltd.................... 1,250,000 3,508,305
Mo Och Domsjoe AB Free, Series B.......... 100,000 5,761,095
Rottneros Bruks AB Free................... 2,566,666 4,053,594
Svenska Cellulosa AB...................... 300,000 5,561,963
-----------
22,651,334
-----------
Consumer Cyclicals -- 13.8%
Autos & Housing -- 2.7%
Catena AB Free, Series A.................. 337,700 1,947,841
Ciadea SA................................. 201,620 978,166
Fiat SpA di Risp.......................... 700,000 1,507,330
General Motors Corp....................... 75,000 3,515,625
Mahindra & Mahindra Ltd., GDR............. 120,000 1,242,036
-----------
9,190,998
-----------
Leisure & Entertainment -- 1.1%
Filmes Lusomundo SA....................... 205,200 2,241,856
King World Productions, Inc./(3)/......... 38,800 1,571,400
-----------
3,813,256
-----------
Media -- 4.8%
Benpres Holdings Corp., GDR/(4)/.......... 200,000 1,700,000
Carlton Communications PLC................ 250,000 3,790,319
News Corp. Ltd., ADR...................... 330,000 7,466,250
Television Broadcasts Ltd................. 400,000 1,406,138
United International Holdings, Inc.,
Cl. A/(3)/............................... 112,000 1,876,000
-----------
16,238,707
-----------
Retail: General -- 1.4%
Promodes SA............................... 7,000 1,595,665
Sonae Industria E. Investimentos.......... 125,000 2,988,220
-----------
4,583,885
-----------
Retail: Specialty -- 3.8%
Moebel Walther AG, Preference............. 7,000 3,540,150
Prodega AG................................ 1,150 1,497,246
Vereinigte Baubeschlag.................... 22,000 7,867,804
-----------
12,905,200
-----------
<CAPTION>
Market Value
Shares (Note 1)
------ ------------
<S> <C> <C>
Common Stocks (Continued)
Consumer Non Cyclicals -- 10.7%
Beverages -- 0.9%
LVMH Moet Hennessy Louis Vuitton.......... 15,000 $ 2,701,388
Vina Concha y Toro SA, ADR................ 8,200 158,875
-----------
2,860,263
-----------
Food -- 3.4%
Mavesa, ADR/(4)/.......................... 107,625 373,986
Molinos Rio de la Plata SA, Cl. B......... 301,343 1,733,267
PT Indofood Sukses Makmur................. 417,750 1,800,808
PT Sinar Mass Agro Resources &
Technology/(3)/.......................... 3,333,500 3,517,613
Spar Handels AG, Non-Vtg.................. 8,950 2,327,829
Universal Robina Corp..................... 3,600,000 1,832,419
-----------
11,585,922
-----------
Healthcare/Drugs -- 2.4%
Genentech, Inc./(3)/...................... 50,000 2,431,250
Genzyme Corp./(3)/........................ 60,000 2,400,000
Pharmavit GDS/(3)(7)/..................... 100,000 875,000
Plant Genetics, Inc./(3)/................. 89,104 1,126,941
Sanofi SA................................. 25,000 1,384,732
-----------
8,217,923
-----------
Healthcare/Supplies & Services -- 4.0%
Elekta Instrument AB Free, Series B/(3)/.. 65,000 2,008,487
Pharmacia AB.............................. 100,000 2,190,452
Rhoen Klinikum AG, Preference............. 660 677,108
Takare PLC................................ 400,000 1,221,811
Tenet Healthcare Corp./(3)/............... 250,000 3,593,750
U.S. Healthcare, Inc...................... 35,000 1,071,875
United Healthcare Corp.................... 65,000 2,689,375
-----------
13,452,858
-----------
Energy -- 7.7%
Energy Services & Producers -- 4.4%
Anadarko Petroleum Corp................... 70,000 3,018,750
ASTRA Compania Argentina de
Petroleo SA.............................. 825,000 1,237,889
Awilco AS, B Shares....................... 371,000 3,430,170
Compagnie Generale de
Geophysique SA/(3)/...................... 30,000 1,788,548
Naviera Perez Companc SA, CIA Cl. B....... 295,000 1,239,389
Transocean Drilling AS/(3)/............... 292,360 4,030,916
-----------
14,745,662
-----------
Oil Integrated -- 3.3%
Elf Gabon SA.............................. 10,000 1,887,568
OeMV AG................................... 50,500 5,826,283
Repsol SA................................. 80,000 2,517,136
YPF Sociedad Anonima, Sponsored ADR....... 47,300 892,788
-----------
11,123,775
-----------
Financial -- 11.9%
Banks -- 5.2%
Akbank T.A.S.............................. 5,000,000 1,271,761
Banco Wiese, Sponsored ADR................ 263,560 2,174,370
HSBC Holdings PLC......................... 124,800 1,600,826
Industrial Finance Corp................... 1,500,000 3,949,764
Philippine National Bank.................. 200,000 2,329,678
PT Bank Danamon........................... 1,500,000 2,189,043
Turkiye Garanti Bankasi AS................ 288,000 3,906,835
-----------
17,422,277
-----------
</TABLE>
10
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Global Securities Fund
STATEMENT OF INVESTMENTS (Continued)
June 30, 1995
(Unaudited)
<TABLE>
<CAPTION>
Market Value
Shares (Note 1)
------ ------------
<S> <C> <C>
Common Stocks (Continued)
Financial (Continued)
Diversified Financial -- 0.2%
First NIS Regional Fund/(5)/.......... 180,000 $ 693,000
------------
Insurance -- 6.5%
Marschollek, Lautenschlaeger und
Partner AG........................... 5,587 3,632,845
Mitsui Marine & Fire Insurance........ 500,000 3,274,441
Ockham Holdings PLC................... 680,000 421,907
Reinsurance Australia Corp............ 4,500,200 7,017,736
Skandia Insurance Co. Ltd............. 100,000 1,936,387
Swiss Reinsurance..................... 7,500 5,774,163
------------
22,057,479
------------
Industrial -- 23.0%
Electrical Equipment -- 0.0%
PT Kabelmetal Indonesia............... 500 842
------------
Industrial Materials -- 0.1%
Ceramicas Carabobo, Sponsored
ADR, Cl. B........................... 144,000 111,946
International de Ceramica - UB........ 24,300 39,263
------------
151,209
------------
Industrial Services -- 5.8%
Adia SA/(3)/.......................... 22,500 4,667,503
BIS SA/(3)/........................... 78,425 6,997,165
First Data Corp....................... 60,000 3,412,500
Inversiones Y Representacion/(3)/..... 877,300 2,097,406
ISS International Service System AS,
Series B............................. 90,000 2,349,551
------------
19,524,125
------------
Manufacturing -- 12.5%
Bucher Holding AG, B Shares........... 3,500 2,141,713
Buderus AG............................ 9,500 4,667,219
Caterpillar, Inc...................... 26,100 1,676,925
Forsheda Group AB, Series B/(7)/...... 100,000 2,417,051
Gildemeister AG....................... 32,000 2,647,166
Hopewell Holdings Ltd................. 2,000,000 1,693,052
JK Corp. Ltd., GDR/(3)(4)/............ 215,000 913,750
Maschinenfabrik Berthold Hermle AG.... 5,101 508,581
Measurex Corp......................... 63,800 1,937,925
Plettac AG............................ 7,778 4,776,530
Powerscreen International PLC......... 1,430,000 7,291,334
Tampella AB/(3)/...................... 1,492,333 3,767,887
Traub AG/(3)/......................... 34,000 4,519,833
Valmet Corp., Cl. A................... 150,000 3,383,973
------------
42,342,939
------------
Transportation -- 4.6%
Danzas Holding AG..................... 1,800 1,546,721
Internatio-Muller NV.................. 52,000 3,705,887
International Container Terminal
Services, Inc........................ 2,000,000 1,389,976
Kvaerner AS........................... 40,000 1,816,707
Lisnave Estaleiros Navais de Lisbona
SA/(3)/.............................. 501,250 2,412,981
Mayne Nickless Ltd.................... 212,000 870,076
Singmarine Industries Ltd............. 687,500 1,771,006
Westmont Berhad....................... 400,000 1,985,241
------------
15,498,595
------------
<CAPTION>
Market Value
Shares (Note 1)
------ ------------
<S> <C> <C>
Common Stocks (Continued)
Technology -- 17.9%
Computer Hardware -- 3.8%
Cabletron Systems, Inc./(3)/.......... 45,000 $ 2,396,250
Compaq Computer Corp./(3)/............ 50,000 2,268,750
Digital Equipment Corp./(3)/.......... 90,000 3,667,500
International Business Machines Corp.. 25,000 2,400,000
Tokyo Electron Ltd.................... 65,000 2,220,259
------------
12,952,759
------------
Computer Software -- 2.3%
First Financial Management Corp....... 17,100 1,462,050
Nintendo Co. Ltd...................... 110,000 6,309,777
------------
7,771,827
------------
Electronics -- 8.2%
Advantest Corp........................ 60,000 2,261,484
Alphatec Electronics Co. Ltd.......... 117,000 2,132,872
Austria Mikro Systeme International AG 9,000 1,183,513
General Motors Corp., Cl. H........... 80,000 3,160,000
Kyocera Corp.......................... 60,000 4,932,863
Philips Electronics NV................ 219,900 9,303,698
Rohm Co............................... 90,000 4,643,110
------------
27,617,540
------------
Telecommunications-Technology -- 3.6%
Airtouch Communications, Inc./(3)/.... 70,000 1,995,000
Korea Mobile Telecommunications Corp.. 3,000 2,553,709
Millicom International Cellular SA/(3)/ 121,678 3,604,711
Millicom, Inc./(3)/................... 25,000 --
Petersburg Long Distance, Inc......... 187,000 1,098,625
Technology Resources Industries
Berhad/(3)/.......................... 1,016,000 2,917,156
------------
12,169,201
------------
Utilities -- 5.9%
Electric Utilities -- 1.7%
Capex SA, Cl. A/(3)/.................. 116,000 899,282
Capex SA, GDR/(3)(4)/................. 124,000 1,906,500
Compagnie Generale des Eaux........... 15,000 1,670,962
Veba AG............................... 3,500 1,373,073
------------
5,849,817
------------
Gas Utilities -- 1.7%
Hong Kong & China Gas................. 3,000,000 4,788,364
Transportadora de Gas del Sur SA...... 99,300 1,042,650
------------
5,831,014
------------
Telephone Utilities -- 2.5%
Portugal Telecom SA, ADR/(3)/......... 65,662 1,247,578
Telecommunication de Argentina, Cl. B. 300,000 1,368,430
Telecomunicacoes Brasileiras SA,
Preference........................... 5,800,000 197,992
Telefonica del Peru SA................ 3,400,031 5,541,933
------------
8,355,933
------------
Total Common Stocks
(Cost $322,117,993)................... 341,114,794
</TABLE>
11
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Global Securities Fund
STATEMENT OF INVESTMENTS (Continued)
June 30, 1995
(Unaudited)
<TABLE>
<CAPTION>
Market Value
Units (Note 1)
----- ------------
<S> <C> <C>
Rights, Warrants and Certificates -- 0.0%
American Satellite Network, Inc. Wts.,
Exp. 6/99................................... 6,250 --
Plant Genetics, Inc. Wts., Exp. 12/99........ 60,000 $ 123,438
------------
Total Rights, Warrants and
Certificates (Cost $0)...................... 123,438
------------
Total Investments, at Value
(Cost $324,725,071)......................... 101.8% 343,764,927
------ ------------
Liabilities in Excess of Other Assets......... (1.8) (6,009,102)
------ ------------
Net Assets.................................... 100.0% $337,755,825
====== ============
</TABLE>
/(1)/ Principal amount is reported in local currency. Foreign currency
abbreviations are as follows:
ITL - Italian Lira
/(2)/ Identifies issues considered to be illiquid - See Note 7 of Notes to
Financial Statements.
/(3)/ Non-income producing security.
/(4)/ Represents a security sold under Rule 144A, which is exempt from
registration under the Securities Act of 1933, as amended. This security
has been determined to be liquid under guidelines established by the
Board of Trustees. These securities amount to $4,894,236 or 1.4% of the
Fund's net assets,at June 30, 1995.
/(5)/ First NIS Regional Fund, a closed end fund listed on the Luxembourg Stock
Exchange, is offered in installments. The Fund entered the first
installment (40% of the total commitment on November 29, 1994. The second
and third installments (30% each of the total commitment) are provisional
and may be postponed indefinitely at the discretion of the Board of NIS
Fund.
/(6)/ A sufficient amount of securities has been designated to cover
outstanding forward foreign currency exchange contracts. See Note 5 of
Notes to Financial Statements.
/(7)/ Affiliated company. Represents ownership of at least 5% of the voting
securities of the issuer and is or was an affiliate, as defined in the
Investment Company Act of 1940, at or during the period ended June 30,
1995. The aggregate fair value of all securities of affiliated companies
as of June 30, 1995 amounted to $875,000. Transactions during the period
in which the issuer was an affiliate are as follows:
<TABLE>
<CAPTION>
Balance Balance
December 31, 1994 Gross Additions Gross Reductions June 30, 1995
----------------- --------------- ---------------- -------------
Dividend
Shares Cost Shares Cost Shares Cost Shares Cost Income
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Forsheda Group AB,
Series B*........... 100,000 $ 1,200,236 -- $ -- -- $ -- 100,000 $ 1,200,236 $ --
Pharmavit GDS........ 100,000 1,300,000 -- -- -- -- 100,000 1,300,000 --
----------- --------- -------- ----------- -------
$ 2,500,236 $ -- $ -- $ 2,500,236 $ --
=========== ========= ======== =========== =======
</TABLE>
*Not an affiliate as of June 30, 1995.
See accompanying Notes to Financial Statements.
12
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Strategic Bond Fund
<TABLE>
<CAPTION>
STATEMENT OF INVESTMENTS
June 30, 1995
(Unaudited)
Principal Market Value
Amount (1) (Note 1)
---------- -----------------
<S> <C> <C>
Certificates of Deposit -- 3.8%
Citibank, 10.50% CD, 7/14/95/(2)/ ARA........... $ 100,000 $ 100,031
Citibank, 13% CD, 5/6/96/(2)/ CLP................ 74,934,666 200,280
CS First Boston, Inc., 15.75% CD,
6/11/96/(3)/ IDR................................ 667,200,000 299,596
First Boston Corp., 12.50% CD,
12/21/95/(2)(3)/ ARA............................ 300,000 300,094
Indonesia (Republic of) CD, Bank
Negara, Zero Coupon, 6/17/96/(2)/ IDR.......... 500,000,000 191,682
Thai Military Bank Ltd., 11% CD,
11/30/95 THB.................................... 8,750,000 354,466
------------
Total Certificates of Deposit
(Cost $1,439,084)................................ 1,446,149
-----------
Mortgage-Backed Obligations -- 4.7%
Government Agency -- 3.0%
FHLMC/FNMA/Sponsored -- 1.0%
Federal Home Loan Mortgage Corp.,
Series 176, Cl. F, 8.95%, 3/15/20............... 58,000 58,957
Federal National Mortgage Assn.,
Collateralized Mtg. Obligations, Gtd.
Real Estate Mtg. Investment Conduit
Pass-Through Certificates, 10.50%,
11/25/20........................................ 130,000 149,471
Federal National Mortgage Assn., Series
1994-83, Cl. Z, 7.50%, 6/25/24.................. 172,421 168,223
-----------
376,651
-----------
GNMA/Guaranteed -- 2.0%
Government National Mortgage Assn.,
6%, 8/15/25..................................... 735,000 737,067
-----------
Private -- 1.7%
Commercial -- 1.1%
FDIC Trust, Gtd. Real Estate Mtg.
Investment Conduit Pass-Through
Certificates, Series 1994-C1, Cl. 2-G,
8.70%, 9/25/25/(4)/............................. 153,594 148,026
Resolution Trust Corp., Commercial
Mtg. Pass-Through Certificates, Series
1991-M6, Cl. B4, 7.337%, 6/25/21/(5)/........... 42,167 41,364
Resolution Trust Corp., Commercial
Mtg. Pass-Through Certificates, Series
1992-CHF, Cl. D, 8.25%, 12/25/20................. 127,762 129,230
Resolution Trust Corp., Commercial
Mtg. Pass-Through Certificates, Series
1993-C1, Cl. D, 9.45%, 5/25/24................... 91,000 95,365
-----------
413,985
-----------
Multi-Family -- 0.6%
Resolution Trust Corp., Commercial
Mtg. Pass-Through Certificates, Series
1994-C2, Cl. E, 8%, 4/25/25....................... 243,821 219,172
-----------
Total Mortgage-Backed Obligations
(Cost $1,658,974)................................ 1,746,875
-----------
</TABLE>
<TABLE>
<CAPTION>
Principal Market Value
Amount (1) (Note 1)
--------- ------------
<S> <C> <C>
U.S. Government Obligations -- 42.8%
Treasury -- 42.8%
U.S. Treasury Bonds, 11.50%, 11/15/95........... $ 2,350,000 $ 2,400,670
U.S. Treasury Bonds, 11.625%, 11/15/02.......... 4,300,000 5,671,966
U.S. Treasury Bonds, 8.125%, 8/15/19............ 163,000 190,201
U.S. Treasury Nts., 8.75%, 8/15/00.............. 2,125,000 2,380,000
U.S. Treasury Nts., 9.375%, 4/15/96............. 318,000 326,745
U.S. Treasury Nts., 9.50%, 11/15/95............. 5,000,000 5,070,309
-------------
Total U.S. Government Obligations
(Cost $15,545,163).............................. 16,039,891
-------------
Foreign Government Obligations -- 17.4%
Argentina (Republic of) Bonds, Bonos
del Tesoro, Series II, 6.063%,
9/1/97/(5)/..................................... 39,000 36,870
Banco Nacional de Comercio Exterior
SNC International Finance BV Gtd.
Matador Bonds, 10.875%,
6/23/97/(3)(5)/................................. 250,000 249,688
Banco Nacional de Comercio Exterior
SNC, Zero Coupon, 12/5/95/(3)/.................. 200,000 190,000
Banco Nacional de Obras y Servicios
Publicos SA Nts., 10.75%, 8/16/96............... 30,000 29,888
Bonos de la Tesoreria de la Federacion,
Zero Coupon, 7/27/95............................ 350,000 346,821
Bonos de la Tesoreria de la Federacion,
Zero Coupon, 8/10/95............................ 100,000 98,736
Brazil (Federal Republic of) Debs.,
7.25%, 4/15/06/(5)/............................. 700,000 417,813
Bulgaria (Republic of) Disc. Bonds,
Tranche A, 7.562%, 7/28/24/(5)/................. 1,000,000 495,625
Canada (Government of) Bonds, 10.25%,
3/1/96-CAD...................................... 180,000 134,082
Canada (Government of) Bonds, 9%,
12/1/04-CAD..................................... 320,000 249,373
Canada (Government of) Bonds, 9.75%,
10/1/97-CAD..................................... 180,000 138,235
Ecuador (Republic of) Bonds, 7.25%,
2/28/25/(5)/.................................... 500,000 250,000
Germany (Republic of) Debs.,
Bundesrepublic Deutscheland, Series
90, 9%, 10/20/00 DEM............................. 820,000 656,475
International Bank for Reconstruction
and Development Bonds, 12.50%,
7/25/97 NZD...................................... 325,000 235,370
Morocco (Kingdom of) Loan
Participation Agreement, Tranche A,
7.375%, 1/1/09/(5)/............................. 800,000 466,000
Morocco (Kingdom of) Loan
Participation Agreement, Tranche B,
7.375%, 1/1/04/(5)/............................. 50,000 32,156
New South Wales State Bank Bonds,
9.25%, 2/18/03 AUD............................. 100,000 71,902
New South Wales Treasury Corp. Gtd.
Exch. Bonds, 12%, 12/1/01 AUD................... 140,000 113,485
New Zealand (Republic of) Bonds, 10%,
7/15/97 NZD..................................... 155,000 107,170
New Zealand (Republic of) Bonds, 8%,
11/15/95 NZD..................................... 400,000 266,289
Norwegian Government Bonds, 5.75%,
11/30/04 NOK................................... 360,000 50,733
13
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Strategic Bond Fund
STATEMENT OF INVESTMENTS (Continued)
June 30, 1995
(Unaudited)
</TABLE>
<TABLE>
<CAPTION>
Principal Market Value
Amount (1) (Note 1)
---------- -------------
<S> <C> <C>
Foreign Government Obligations
(Continued)
Petroquimica do Nordeste Sr. Unsec.
Unsub. Nts., 9.50%, 10/19/01.................. $ 50,000 $ 43,250
Poland (Republic of) Disc. Bonds,
7.125%, 10/27/24/(5)/......................... 250,000 192,031
Poland (Republic of) Past Due
Interest Bonds, 3.25%, 10/27/14/(6)/......... 500,000 300,625
Queensland Treasury Corp. Gtd. Nts.,
8%, 8/14/01 AUD............................... 418,000 282,954
Spain (Kingdom of) Gtd. Bonds, Bonos
y Obligacion del Estado, 10.25%,
11/30/98 ESP................................ 26,000,000 206,772
United Kingdom Treasury Nts., 12%,
11/20/98 GBP................................. 185,000 327,979
United Kingdom Treasury Nts., 12.25%,
3/26/99 GBP.................................. 30,000 53,917
United Kingdom Treasury Nts., 13%,
7/14/00 GBP.................................. 92,000 174,263
United Mexican States, Combined
Facility 3, Loan Participation
Agreement, Tranche A, 6.75%,
9/20/97/(4)(5)/.............................. 161,920 112,534
United Mexican States, Petacalco
Topolobampo Trust Sr. Sec. Unsub.
Nts., 8.125%, 12/15/03........................ 100,000 70,500
United Mexican States, Petroleos
Mexicanos Gtd. Medium-Term Nts.,
7.60%, 6/15/00................................ 100,000 77,250
Venezuela (Republic of) Debs., 6.75%,
9/20/95....................................... 50,000 50,000
----------
Total Foreign Government Obligations
(Cost $6,392,698)............................. 6,528,786
----------
Corporate Bonds and Notes -- 28.4%
Basic Industry -- 3.1%
Chemicals -- 0.4%
NL Industries, Inc., 11.75% Sr. Sec.
Nts., 10/15/03................................ 100,000 104,500
UCAR Global Enterprises, Inc., 12% Sr.
Sub. Nts., 1/15/05............................ 50,000 53,750
----------
158,250
----------
Paper -- 2.2%
Domtar, Inc., 11.25% Debs., 9/15/17............ 100,000 107,000
Gaylord Container Corp., 0%/12.75% Sr.
Sub. Disc. Debs., 5/15/05/(7)/................ 200,000 196,000
Repap New Brunswick, Inc., 9.50%
First Priority Sr. Sec. Nts.,
7/15/00/(5)/.................................. 200,000 203,500
Riverwood International Corp., 10.75%
Sr. Nts., 6/15/00............................. 100,000 108,000
Stone Container Corp., 10.75% First
Mtg. Nts., 10/1/02............................ 190,000 200,450
----------
814,950
----------
Steel -- 0.5%
Jorgensen (Earle M.) Co., 10.75% Sr.
Nts., 3/1/00.................................. 50,000 48,000
Wheel-Pittsburgh Corp., 9.375% Sr.
Nts., 11/15/03............................... 150,000 139,500
----------
187,500
----------
<CAPTION>
Principal Market Value
Amount (1) (Note 1)
--------- -------------
<S> <C> <C>
Corporate Bonds and Notes (Continued)
Consumer Related -- 7.6%
Consumer Products -- 1.9%
Amstar Corp., 11.375% Sr. Sub. Nts.,
2/15/97........................................ $ 200,000 $ 203,000
Coleman Holdings, Inc., Zero Coupon
Sr. Sec. Disc. Nts., Series B, 5/27/98........ 50,000 37,250
Harman International Industries, Inc.,
12% Sr. Sub. Nts., 8/1/02..................... 150,000 164,250
International Semi-Tech
Microelectronics, Inc., 0%/11.50% Sr.
Sec. Disc. Nts., 8/15/03/(7)/................. 400,000 202,000
Williams (J. B.) Holdings, Inc., 12% Sr.
Nts., 3/1/04.................................. 100,000 98,750
----------
705,250
----------
Food/Beverages/Tobacco -- 0.4%
Dr. Pepper Bottling Holdings, Inc.,
0%/11.625% Sr. Disc. Nts., 2/15/03/(7)/....... 200,000 149,000
Healthcare -- 2.4%
AmeriSource Corp., 11.25% Sr. Debs.,
7/15/05/(8)/.................................. 87,579 89,604
Capstone Capital Corp., 10.50% Cv. Sub.
Debs., 4/1/02................................. 200,000 219,750
Icon Health & Fitness, Inc., 13% Sr.
Sub. Nts., 7/15/02/(3)/....................... 200,000 203,000
National Medical Enterprises, Inc.,
10.125% Sr. Sub. Nts., 3/1/05................. 100,000 106,250
Total Renal Care, Inc., Units (each Unit
consists of $1,000 principal
amount of 0%/12% Sr. Sub. Disc. Nts.,
8/15/04 and nine shares of non-voting
Class B Common Stock)/(7)(9)/................. 300,000 274,500
----------
893,104
----------
Hotel/Gaming -- 1.9%
GB Property Funding Corp., 10.875%
First Mtg. Nts., 1/15/04...................... 100,000 87,000
HMH Properties, Inc., 9.50% Sr. Sec.
Nts., 5/15/05/(3)/............................ 250,000 243,750
Players International, Inc., 10.875% Sr.
Nts., 4/15/05/(3)/............................ 150,000 148,125
Station Casinos, Inc., 9.625% Sr. Sub.
Nts., 6/1/03.................................. 100,000 93,500
Trump Plaza Funding, Inc., 10.875%
Gtd. Mtg. Nts., 6/15/01....................... 150,000 138,750
----------
711,125
----------
Restaurants -- 0.2%
Carrols Corp., 11.50% Sr. Nts., 8/15/03........ 100,000 94,500
Textile/Apparel -- 0.8%
PT Polysindo Eka Perkasa, Zero
Coupon Promissory Nts.,....................... 300,000,000 96,486
10/23/96-IDR
Synthetic Industries, Inc., 12.75% Sr.
Sub. Debs., 12/1/02........................... 200,000 201,000
297,486
Energy -- 1.2%
Chesapeake Energy Corp., 10.50% Sr.
Nts., 6/1/02/(3)/............................. 150,000 148,125
Petroleum Heat & Power Co., Inc.,
12.25% Sub. Debs., 2/1/05..................... 100,000 107,500
Plains Resources, Inc., 12% Sr. Sub.
Nts., 10/1/99................................. 100,000 103,750
Triton Energy Corp., Zero Coupon Sr.
Sub. Disc. Nts., 11/1/97...................... 100,000 81,500
----------
440,875
----------
</TABLE>
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Strategic Bond Fund
STATEMENT OF INVESTMENTS (Continued)
June 30, 1995
(Unaudited)
<TABLE>
<CAPTION>
Principal Market Value
Amount (1) (Note 1)
--------- -------------
<S> <C> <C>
Corporate Bonds and Notes (Continued)
Financial Services -- 0.8%
Banks & Thrifts -- 0.2%
Banco Ganadero SA, Zero Coupon Sr.
Unsub. Unsec. Nts., 6/16/96/(3)/.............. $ 50,000 $ 45,580
Morgan Stanley Group, 14.25% Indian
Rupee Indexed Nts., 6/26/96-INR............... 1,570,500 50,016
----------
95,596
----------
Diversified Financial -- 0.3%
Olympic Financial Ltd., 13% Sr. Nts.,
5/1/00........................................ 100,000 103,000
----------
Insurance -- 0.3%
Terra Nova Holdings, 10.75% Sr. Nts.,
7/1/05........................................ 100,000 101,500
----------
Housing Related -- 0.9%
Building Materials -- 0.2%
Pacific Lumber Co., 10.50% Sr. Nts.,
3/1/03........................................ 100,000 94,750
----------
Homebuilders/Real Estate -- 0.7%
Saul (B.F.) Real Estate Investment
Trust, 11.625% Sr. Nts., 4/1/02............... 100,000 95,000
Tribasa Toll Road Trust, 10.50% Nts.,
Series 1993-A, 12/1/11/(3)/................... 250,000 161,250
----------
256,250
----------
Manufacturing -- 1.4%
Aerospace/Electronics/Computers -- 0.6%
Berg Electronics Holdings Corp.,
11.375% Sr. Sub. Debs., 5/1/03................ 50,000 52,000
Rohr, Inc., 11.625% Sr. Nts., 5/15/03.......... 100,000 105,500
Unisys Corp., 13.50% Credit Sensitive
Nts., 7/1/97/(5)/............................. 50,000 55,817
----------
213,317
----------
Automotive -- 0.5%
Foamex LP/Foamex Capital Corp.,
11.25% Sr. Nts., 10/1/02...................... 50,000 49,500
Penda Corp., 10.75% Sr. Nts., Series B,
3/1/04........................................ 150,000 137,250
----------
186,750
----------
Capital Goods -- 0.3%
Atlantis Group, Inc., 11% Sr. Nts.,
2/15/03....................................... 50,000 49,250
Terex Corp., Units (each Unit consists
of $1,000 principal amount of 13.75%
Sr. Sec. Nts., 5/15/02 and four
Common Stock Appreciation
Rights)/(3)(9)/............................... 100,000 89,000
----------
138,250
----------
Media -- 6.2%
Broadcasting -- 0.8%
Act III Broadcasting, Inc., 9.625% Sr.
Sub. Nts., 12/15/03........................... 50,000 50,688
New City Communications, Inc.,
11.375% Sr. Sub. Nts., 11/1/03................ 150,000 144,000
Sinclair Broadcasting Group, Inc., 10%
Sr. Sub. Nts., 12/15/03....................... 100,000 101,000
----------
295,688
----------
Cable Television -- 3.2%
American Telecasting, Inc., 0%/12.50%
Sr. Disc. Nts., 6/15/04/(7)/.................. 300,000 176,250
Bell Cablemedia PLC, 0%/11.95% Sr.
Disc. Nts., 7/15/04/(7)/...................... 200,000 134,000
<CAPTION>
Principal Market Value
Amount (1) (Note 1)
--------- -------------
<S> <C> <C>
Corporate Bonds and Notes (Continued)
Media (Continued)
Cable Television (Continued)
Cablevision Systems Corp., 10.75% Sr.
Sub. Debs., 4/1/04............................ $ 100,000 $ 104,875
Cablevision Systems Corp., 9.875% Sr.
Sub. Debs., 4/1/23............................ 100,000 104,500
Continental Cablevision, Inc., 11% Sr.
Sub. Debs., 6/1/07............................ 300,000 333,000
International CableTel, Inc., 0%/12.75%
Sr. Def. Cpn. Nts., 4/15/05/(3)(7)/........... 100,000 59,500
Marcus Cable Operating Co.
LP/Marcus Capital Corp., 0%/13.50%
Gtd. Sr. Sub. Disc. Nts., Series II,
8/1/04/(7)/................................... 200,000 126,500
People's Choice TV Corp., Units (each
Unit consists of $1,000 principal
amount of 0%/13.125% Sr. Disc. Nts.,
6/1/04 and one Warrant to purchase
1.427 shares of Common Stock)/(7)(9)/......... 150,000 71,250
Time Warner Entertainment LP/Time
Warner, Inc., 8.375% Sr. Debs., 3/15/23....... 50,000 50,226
Time Warner, Inc., 9.125% Debs.,
1/15/13....................................... 50,000 52,420
----------
1,212,521
----------
Diversified Media -- 1.7%
Ackerley Communications, Inc., 10.75%
Sr. Sec. Nts., Series A, 10/1/03.............. 200,000 211,000
Echostar Communications Corp.,
0%/12.875% Sr. Disc. Nts., 6/1/04/(7)/........ 50,000 24,375
Lamar Advertising Co., 11% Sr. Sec.
Nts., 5/15/03................................. 150,000 150,375
Outdoor Systems, Inc., 10.75% Sr. Nts.,
8/15/03....................................... 100,000 96,500
Panamsat LP/Panamsat Capital Corp.,
9.75% Sr. Sec. Nts., 8/1/00................... 150,000 154,500
----------
636,750
----------
Entertainment/Film -- 0.5%
Imax Corp., 7% Sr. Nts., 3/1/01/(6)/............ 200,000 183,000
Other -- 1.5%
Conglomerates -- 1.3%
MacAndrews & Forbes Holdings, Inc.,
13% Sub. Debs., 3/1/99........................ 175,000 174,125
Talley Industries, Inc.,
0%/12.25% Sr. Disc.
Debs., 10/15/05/(7)/.......................... 300,000 199,500
Talley Manufacturing & Technology,
Inc., 10.75% Sr. Nts., 10/15/03............... 100,000 98,500
----------
472,125
----------
Services -- 0.2%
Borg-Warner Security Corp., 9.125% Sr.
Sub. Nts., 5/1/03............................. 100,000 91,000
Retail -- 1.8%
Drug Stores -- 0.2%
Duane Reade, 12% Sr. Nts., Series B,
9/15/02....................................... 100,000 80,500
Specialty Retailing -- 0.5%
Eye Care Centers of America, Inc., 12%
Sr. Nts., 10/1/03............................. 100,000 82,000
Finlay Fine Jewelry Corp., 10.625% Sr.
Nts., 5/1/03.................................. 100,000 96,500
----------
178,500
----------
</TABLE>
15
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Strategic Bond Fund
STATEMENT OF INVESTMENTS (Continued)
June 30, 1995
(Unaudited)
<TABLE>
<CAPTION>
Principal Market Value
Amount (1) (Note 1)
------------ ------------
<S> <C> <C>
Corporate Bonds and Notes (Continued)
Retail (Continued)
Supermarkets -- 1.1%
Grand Union Co., 12% Sr. Nts.,
9/1/04/(10)/.............................. $ 300,000 $ 292,500
Purity Supreme, Inc., 11.75% Sr. Sec.
Nts., Series B, 8/1/99..................... 100,000 107,750
------------
400,250
------------
Transportation -- 0.3%
Railroads -- 0.3%
Transtar Holdings LP/Transtar Capital
Corp., 0%/13.375% Sr. Disc. Nts.,
Series B, 12/15/03/(7)/................... 200,000 121,000
------------
Utilities -- 3.6%
Electric Utilities -- 1.2%
Beaver Valley II Funding Corp., 9%
Second Lease Obligation Bonds, 6/1/17..... 199,000 166,247
El Paso Electric Co., 10.75% Lease
Obligation Bonds, 4/1/13/(11)/............ 100,000 53,079
First PV Funding Corp., 10.30% Lease
Obligation Bonds, Series 1986A, 1/15/14... 200,000 213,631
------------
432,957
------------
Telecommunications -- 2.4%
Call-Net Enterprises, Inc., 0%/13.25%
Sr. Disc. Nts., 12/1/04/(7)/.............. 200,000 121,750
Celcaribe SA, 0%/13.50% Sr. Sec. Nts.,
3/15/04/(3)(7)/........................... 150,000 105,335
Cellular, Inc., 0%/11.75% Sr. Sub. Disc.
Nts., 9/1/03/(7)/......................... 50,000 36,500
Geotek Communications, Inc., Units
(each Unit consists of $1,000 principal
amount 0%/15% Sr. Sec. Disc. Nts. and
thirty Warrants to purchase Common
Stock)/(3)(7)(9)/.......................... 250,000 120,860
In Flight Phone Corp., Units (each Unit
consists of $1,000 principal amount of
0%/14% Sr. Disc. Nts., Series A,
5/15/02 and one Warrant to purchase
one share of Common
Stock)/(3)(7)(9)/.......................... 200,000 118,000
MFS Communications, Inc., 0%/9.375%
Sr. Disc. Nts., 1/15/04/(7)/............... 100,000 69,750
PriCellular Wireless Corp., 0%/14% Sr.
Sub. Disc. Nts., 11/15/01/(7)/............. 200,000 161,000
USA Mobile Communications, Inc. II,
14% Sr. Nts., 11/1/04...................... 150,000 162,000
------------
895,195
------------
Total Corporate Bonds and Notes
(Cost $10,565,915)......................... 10,640,939
<CAPTION>
Shares
------
<S> <C> <C>
Common Stocks -- 0.1%
Celcaribe SA (Cost $29,024)/(3)(12)/....... 24,390 21,415
------------
Preferred Stocks -- 2.3%
BankAmerica Corp., 8.375%, Series K......... 7,000 178,500
California Federal Bank, 10.625% Non-
Cum., Series B............................. 2,000 214,000
First Nationwide Bank, 11.50% Non-
Cum. ...................................... 2,000 216,000
<CAPTION>
Market Value
Shares (Note 1)
------ ------------
<S> <C> <C>
Preferred Stocks (Continued)
Glendale Federal Bank, F.S.B., 8.75%
Non-Cum. Cv., Series E.................... 1,000 $ 34,000
Kaiser Aluminum Corp., $.65 Cv.,
Series A.................................. 3,000 28,875
Prime Retail, Inc., $19.00 Cv., Series B... 6,000 111,750
SDW Holdings Corp. Units (each Unit
consists of ten shares of Sr.
Exchangeable Preferred Stock and one
Cl. B Warrant to purchase one share
of Common Stock)/(3)(9)/.................. 375 101,408
------------
Total Preferred Stocks
(Cost $889,950)........................... 884,533
------------
<CAPTION>
Units
-----
<S> <C> <C>
Rights, Warrants and Certificates -- 0.0%
American Telecasting, Inc. Wts., Exp.
6/99...................................... 1,500 3,750
Echostar Communications Corp. Wts.,
Exp. 6/04................................. 300 3,375
Eye Care Centers of America, Inc. Wts.,
Exp. 10/03................................ 100 500
Icon Health & Fitness, Inc. Wts.,
Exp. 11/99/(3)/........................... 200 5,000
Terex Corp. Rts., Exp. 7/96/(3)/........... 36 5
------------
Total Rights, Warrants and
Certificates (Cost $4,089) 12,630
------------
<CAPTION>
Principal
Amount (1)
----------
<S> <C> <C>
Structured Instruments -- 1.4%
Goldman, Sachs & Co. Argentina Local
Market Securities Trust, 11.30%,
4/1/00 (representing debt of Argentina
(Republic of) Bonos del Tesoro Bonds,
Series 10, 6.063%, 4/1/00 and an
interest rate swap between Goldman
Sachs and the Trust)/(2)(4)/.............. $ 260,869 237,391
Swiss Bank Corp. Investment Banking,
Inc., 10% CD Linked Nt., 7/3/95
(indexed to the British Pound Sterling
2 year swap rate, multiplied by 6)/(2)/... 160,000 160,000
Bayerische Landesbank, N.Y. Branch,
10% CD Linked Nt., 10/30/95 (indexed
to the mid-market yield of the Japanese
Government Bond Series 174, 4.60%,
9/20/04, multiplied by 20)/(4)/........... 150,000 138,000
------------
Total Structured Instruments
(Cost $570,870)........................... 535,391
------------
Total Investments, at Value
(Cost $37,095,767)........................ 100.9% 37,856,609
-------- ------------
Liabilities in Excess of Other Assets...... (0.9) (364,616)
------- ------------
Net Assets................................. 100.0% $ 37,491,993
======= ============
</TABLE>
16
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Strategic Bond Fund
STATEMENT OF INVESTMENTS (Continued)
June 30, 1995
(Unaudited)
/(1)/ Principal amount is reported in local currency. Foreign currency
abbreviations are as follows:
ARA - Argentine Austral GBP - British Pound Sterling
AUD - Australian Dollar IDR - Indonesian Rupiah
CAD - Canadian Dollar INR - Indian Rupee
CLP - Chilean Peso NOK - Norwegian Krone
DEM - German Deutsche Mark NZD - New Zealand Dollar
ESP - Spanish Peseta THB - Thai Baht
/(2)/ Indexed instrument for which the principal amount and/or interest due
at maturity is affected by the relative value of a foreign currency.
/(3)/ Represents a security sold under Rule 144A, which is exempt from
registration under the Securities Act of 1933, as amended. This security
has been determined to be liquid under guidelines established by the
Board of Trustees. These securities amount to $2,609,731 or 7% of the
Fund's net assets, at June 30, 1995.
/(4)/ Identifies issues considered to be illiquid - See Note 7 of Notes to
Financial Statements.
/(5)/ Represents the current interest rate for a variable rate security.
/(6)/ Represents the current interest rate for an increasing rate security.
/(7)/ Represents a zero coupon bond that converts to a fixed rate of interest
at a designated future date.
/(8)/ Interest or dividend is paid in kind.
/(9)/ Units may be comprised of several components, such as debt and equity
and/or warrants to purchase equity at some point in the future. In most
cases, units involve a high degree of risk.
/(10)/ When-issued security to be delivered and settled after June 30, 1995.
/(11)/ Non-income producing - issuer is in default of interest payment.
/(12)/ Non-income producing security.
/(13)/ A sufficient amount of securities has been designated to cover
outstanding forward foreign currency exchange contracts. See Note 5 of
Notes to Financial Statements.
See accompanying Notes to Financial Statements.
17
<PAGE>
Oppenheimer Variable Account Funds
Notes to Financial Statements
(Unaudited)
1. Significant Accounting Policies
Oppenheimer Capital Appreciation Fund (OCAP), Oppenheimer Global Securities
Fund (OGSF) and Oppenheimer Strategic Bond Fund (OSBF) (collectively, the
Funds) are separate series of Oppenheimer Variable Account Funds (the
Trust), a diversified, open-end management investment company registered
under the Investment Company Act of 1940, as amended. The Trust's
investment advisor is Oppenheimer Management Corporation (the Manager). The
following is a summary of significant accounting policies consistently
followed by the Funds.
A. Investment Valuation.
Portfolio securities of OCAP, OGSF and OSBF are valued at 4:00 p.m. (New
York time) on each trading day. Listed and unlisted securities for which
such information is regularly reported are valued at the last sale price
of the day or, in the absence of sales, at values based on the closing
bid or asked price or the last sale price on the prior trading day.
Long-term debt securities are valued by a portfolio pricing service
approved by the Board of Trustees. Long-term debt securities which
cannot be valued by the approved portfolio pricing service are valued
using dealer-supplied valuations provided the Manager is satisfied that
the firm rendering the quotes is reliable and that the quotes reflect
current market value, or under consistently applied procedures
established by the Board of Trustees to determine fair value in good
faith. Short-term debt securities having a remaining maturity of 60 days
or less are valued at cost (or last determined market value) adjusted
for amortization to maturity of any premium or discount. Options are
valued based upon the last sale price on the principal exchange on which
the option is traded or, in the absence of any transactions that day,
the value is based upon the last sale on the prior trading date if it is
within the spread between the closing bid and asked prices. If the last
sale price is outside the spread, the closing bid or asked price closest
to the last reported sale price is used. Forward foreign currency
exchange contracts (forward contracts) are valued based on the closing
prices of the foreign currency contract rates in the London foreign
exchange market on a daily basis.
B. Security Credit Risk.
OSBF invests in high yield securities, which may be subject to a greater
degree of credit risk, greater market fluctuations and risk of loss of
income and principal, and may be more sensitive to economic conditions
than lower yielding, higher rated fixed income securities. The Fund may
acquire securities in default, and is not obligated to dispose of
securities whose issuers subsequently default. At June 30, 1995,
securities with an aggregate market value of $53,079, representing 0.14%
of the Fund's net assets, were in default.
C. Foreign Currency Translation.
The accounting records of the Funds are maintained in U.S. dollars.
Prices of securities purchased by OGSF and OSBF that are denominated in
foreign currencies are translated into U.S. dollars at the closing rates
of exchange. Amounts related to the purchase and sale of securities and
investment income are translated at the rates of exchange prevailing on
the respective dates of such transactions.
OGSF and OSBF account for gains and losses on foreign currency
transactions with the transactions that gave rise to the exchange gain
or loss. The net gain or loss resulting from changes in foreign currency
exchange rates is reported separately in the Statement of Operations by
OGSF and OSBF.
D. Repurchase Agreements.
The Funds require the custodian to take possession, to have legally
segregated in the Federal Reserve Book Entry System or to have
segregated within the custodian's vault, all securities held as
collateral for repurchase agreements. The market value of the underlying
securities is required to be at least 102% of the resale price at the
time of purchase. If the seller of the agreement defaults and the value
of the collateral declines, or if the seller enters an insolvency
proceeding, realization of the value of the collateral by the Funds may
be delayed or limited.
E. Federal Taxes.
The Trust intends for each Fund to continue to comply with provisions of
the Internal Revenue Code applicable to regulated investment companies
and to distribute all of its taxable income, including any net realized
gain on investments not offset by loss carryovers, to shareholders.
Therefore, no federal income or excise tax provision is required.
18
<PAGE>
Oppenheimer Variable Account Funds
Notes to Financial Statements (Continued)
F. Distributions to Shareholders.
Dividends and distributions to shareholders of OCAP, OGSF and OSBF are
recorded on the ex-dividend date.
G. Classification of Distributions to Shareholders.
Net investment income (loss) and net realized gain (loss) may differ for
financial statement and tax purposes primarily because of premium
amortization, paydown gains and losses and the recognition of certain
foreign currency gains (losses) as ordinary income (loss) for tax
purposes. The character of the distributions made during the year from
net investment income or net realized gains may differ from their
ultimate characterization for federal income tax purposes. Also, due to
timing of dividend distributions, the fiscal year in which amounts are
distributed may differ from the year that the income or realized gain
(loss) were recorded by the Funds.
H. Other.
Investment transactions are accounted for on the date the investments
are purchased or sold (trade date) and dividend income is recorded on
the ex-dividend date. Discount on securities purchased by OCAP, OGSF and
OSBF is amortized over the life of the respective securities, in
accordance with federal income tax requirements. Realized gains and
losses on investments and unrealized appreciation and depreciation are
determined on an identified cost basis, which is the same basis used for
federal income tax purposes. Dividends in kind are recognized as income
on the ex-dividend date, at the current market value of the underlying
security. Interest on payment-in-kind debt instruments is accrued as
income at the coupon rate and a market adjustment is made on the
ex-date.
2. Shares of Beneficial Interest
The Funds have authorized an unlimited number of no par value shares of
beneficial interest. Transactions in shares of beneficial interest were as
follows:
<TABLE>
<CAPTION>
Oppenheimer Capital Appreciation Fund
--------------------------------------------------------------
Six Months Ended Year Ended
June 30, 1995 December 31, 1994
------------------------------ ------------------------------
Shares Amount Shares Amount
------------------------------ ------------------------------
<S> <C> <C> <C> <C>
Sold 4,239,860 $ 112,635,717 7,912,557 $ 173,453,586
Dividends and
distributions
reinvested 40,594 1,082,642 614,575 17,331,023
Redeemed (3,281,251) (86,986,692) (5,695,411) (114,272,197)
------------------------------- -----------------------------
Net increase 999,203 $ 26,731,667 2,831,721 $ 76,512,412
=============================== =============================
<CAPTION>
Oppenheimer Global Securities Fund
--------------------------------------------------------------
Six Months Ended Year Ended
June 30, 1995 December 31, 1994
------------------------------- -----------------------------
Shares Amount Shares Amount
------------------------------- -----------------------------
<S> <C> <C> <C> <C>
Sold 6,243,202 $ 91,326,621 22,151,454 $ 336,310,887
Dividends and
distributions
reinvested 585,961 8,174,158 178,687 2,801,813
Redeemed (3,869,900) (56,937,590) (8,503,911) (112,426,012)
------------------------------- -----------------------------
Net increase 2,959,263 $ 42,563,189 13,826,230 $ 226,686,688
=============================== =============================
<CAPTION>
Oppenheimer Strategic Bond Fund
--------------------------------------------------------------
Six Months Ended Year Ended
June 30, 1995 December 31, 1994
------------------------------- -----------------------------
Shares Amount Shares Amount
------------------------------- -----------------------------
<S> <C> <C> <C> <C>
Sold 4,511,806 $ 21,090,640 3,749,500 $ 18,415,292
Dividends and
distributions
reinvested 265,203 1,238,330 247,485 1,178,372
Redeemed (1,315,647) (6,127,111) (1,508,782) (7,350,665)
------------------------------- -----------------------------
Net increase 3,461,363 $ 16,201,859 2,488,203 $ 12,242,999
=============================== =============================
</TABLE>
19
<PAGE>
Oppenheimer Variable Account Funds
Notes to Financial Statements (Continued)
3. Unrealized Gains and Losses on Investments, Options Written and
Foreign Currency Transactions
At June 30, 1995, net unrealized appreciation or depreciation on
investments, options written and foreign currency transactions consisted of
the following:
<TABLE>
<CAPTION>
Oppenheimer Oppenheimer Oppenheimer
Capital Global Strategic
Appreciation Securities Bond
Fund Fund Fund
--------------------------------------------
<S> <C> <C> <C>
Gross appreciation $41,909,298 $ 37,143,205 $1,300,826
Gross depreciation (4,049,024) (18,532,754) (529,497)
--------------------------------------------
Net unrealized appreciation $37,860,274 $ 18,610,451 $ 771,329
============================================
Purchases and sales of investment
securities (excluding short-term
securities) for the six months
ended June 30, 1995 were as
follows:
Purchases $179,541,599 $259,674,019 $26,799,898
============================================
Sales $131,434,151 $193,639,326 $13,821,418
============================================
</TABLE>
4. Option Activity
The Funds may buy and sell put and call options, or write covered put and
call options on portfolio securities in order to produce incremental
earnings or protect against changes in the value of portfolio securities.
The Funds generally purchase put options or write covered call options to
hedge against adverse movements in the value of portfolio holdings. When an
option is written, the Funds receive a premium and become obligated to sell
or purchase the underlying security at a fixed price, upon exercise of the
option. The Funds segregate assets to cover their obligations under option
contracts.
Options are valued daily based upon the last sale price on the principal
exchange on which the option is traded and unrealized appreciation or
depreciation is recorded. The Funds will realize a gain or loss upon the
expiration or closing of the option transaction. When an option is
exercised, the proceeds on sales for a written call option, the purchase
cost for a written put option, or the cost of the security for a purchased
put or call option is adjusted by the amount of premium received or paid.
In this report, securities held to cover outstanding call options are noted
in the Statement of Investments. Shares subject to call, expiration date,
exercise price, premium received and market value are detailed in a
footnote to the Statement of Investments. Options written are reported as a
liability in the Statement of Assets and Liabilities. Gains and losses are
reported in the Statement of Operations.
The risk in writing a call option is that the Funds give up the opportunity
for profit if the market price of the security increases and the option is
exercised. The risk in writing a put option is that the Funds may incur a
loss if the market price of the security decreases and the option is
exercised. The risk in buying an option is that the Fund pays a premium
whether or not the option is exercised. The Funds also have the additional
risk of not being able to enter into a closing transaction if a liquid
secondary market does not exist. The Funds may also write over-the-counter
options where the completion of the obligation is dependent upon the credit
standing of the counterparty.
20
<PAGE>
Oppenheimer Variable Account Funds
Notes to Financial Statements (Continued)
OSBF option activity for the six months ended June 30, 1995 was as follows:
<TABLE>
<CAPTION>
PUT OPTIONS
---------------------------------
Number of Options Amount of
Premiums
---------------------------------
<S> <C> <C>
Options outstanding at December 31, 1994 -- $ --
Options written 68,493 708
Options expired prior to exercise (68,493) (708)
---------------------------------
Options outstanding at June 30, 1995 -- --
=================================
<CAPTION>
CALL OPTIONS
---------------------------------
Number of Options Amount of
Premiums
---------------------------------
<S> <C> <C>
Options outstanding at December 31, 1994 307 $ 1,600
Options written 1,213 8,502
Options canceled in closing transactions (1,069) (7,652)
Options expired prior to exercise (174) (628)
Options exercised (277) (1,822)
---------------------------------
Options outstanding at June 30, 1995 -- --
=================================
</TABLE>
5. Forward Foreign Currency Exchange Contracts
A forward foreign currency exchange contract (forward contract) is a
commitment to purchase or sell a foreign currency at a future date, at a
negotiated rate.
The Funds use forward contracts to seek to manage foreign currency risks.
They may also be used to tactically shift portfolio currency risk. The
Funds generally enter into forward contracts as a hedge upon the purchase
or sale of a security denominated in a foreign currency. In addition, the
Funds may enter into such contracts as a hedge against changes in foreign
currency exchange rates on portfolio positions.
Forward contracts are valued at the closing price on the London foreign
exchange market on a daily basis. The Funds will realize a gain or loss
upon the closing or settlement of the forward transaction.
In this report, securities segregated to cover net exposure on outstanding
forward contracts are noted in the Statements of Investments where
applicable. Gains and losses on outstanding contracts (unrealized
appreciation or depreciation on forward contracts) are reported in the
Statements of Assets and Liabilities. Realized gains and losses are
reported with all other foreign currency gains and losses in the Funds'
results of operations.
Risks include the potential inability of the counterparty to meet the terms
of the contract and unanticipated movements in the value of a foreign
currency relative to the U.S. dollar.
At June 30, 1995, outstanding forward foreign currency exchange contracts
(forward contracts) to purchase and sell foreign currencies were as
follows:
21
<PAGE>
Oppenheimer Variable Account Funds
Notes to Financial Statements (Continued)
<TABLE>
<CAPTION>
Oppenheimer Strategic Bond Fund
Unrealized
Expiration Date Contract Size Valuation as of Appreciation
Contracts to Buy (In Thousands) June 30, 1995 (Depreciation)
- --------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
New Zealand Dollar 7/5/95-8/28/95 568 $379,075 $1,770)
======== ------
Contracts to Sell
- -------------------------------
Australian Dollar 7/5/95-8/28/95 523 $370,810 $6,495)
Norwegian Krone 7/7/95-7/20/95 319 $ 51,736 (303)
-------- ------
842 $422,546 6,192)
======== ------
$7,962
======
</TABLE>
6. Management Fees and Other Transactions with Affiliates
Management fees paid to the Manager were in accordance with the investment
advisory agreements with the Trust. For OCAP, OGSF and OSBF, the annual fees
are .75% of the first $200 million of net assets, .72% of the next $200
million, .69% of the next $200 million, .66% of the next $200 million and
.60% of net assets in excess of $800 million. In addition, management fees
for OSBF are .50% of net assets in excess of $1 billion. For OSBF, the
Manager has agreed to limit the management fee charged so that the ordinary
operating expenses of the Fund will not exceed 1.0% of its average net assets
in any fiscal year.
7. Illiquid and Restricted Securities
At June 30, 1995, investments in securities included issues that are illiquid
or restricted. The securities are often purchased in private placement
transactions, are not registered under the Securities Act of 1933, may have
contractual restrictions on resale, and are valued under methods approved by
the Board of Trustees as reflecting fair value. The Funds intend to invest no
more than 10% of net assets (determined at the time of purchase) in illiquid
and restricted securities. Information concerning these securities is as
follows:
<TABLE>
<CAPTION>
Oppenheimer Strategic Bond Fund
Valuation
Acquisition Cost as of
Security Date Per Unit June 30, 1995
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Bayerische Landesbank, N.Y. Branch, 10%
CD Linked Nt., 10/30/95 4/14/95 $100.00 $92.00
FDIC Trust, Gtd. Real Estate Mtg. Investment Conduit Pass-
Through Certificates, Series 1994-C1, Cl. 2-G, 8.70%,
9/25/95 3/3/95 $ 91.47 $96.38
Goldman, Sachs & Co. Argentina Local Market Securities
Trust, 11.30%, 4/1/00 10/26/94 $ 89.00 $69.50
United Mexican States, Combined Facility 3, Loan
Participation Agreement, Tranche A, 6.75%, 9/20/97 8/24/95 $100.00 $91.00
</TABLE>
The aggregate value of illiquid and restricted securities subject to the 10%
limitation at June 30, 1995 was $635,951 or 1.7% of the Fund's net assets.
Pursuant to guidelines adopted by the Board of Trustees, certain unregistered
securities are determined to be liquid and are not included within the 10%
limitation specified above.
8. Introduction of Oppenheimer Growth & Income Fund
Oppenheimer Growth & Income Fund commenced operations as a separate series of
the Trust on July 7, 1995.
22
